They already have such things. They are called Superconducting Magnetic Energy Storage (SMES): http://en.wikipedia.org/wiki/Superconducting_magnetic_energy...

They're currently used to regulate power grids from unexpected load changes. Superconductors are good at absorbing and releasing large amounts of power very quickly (since there's no resistance), so they are ideal for situations like this.

There is a still a big energy cost in cooling these things though.