If Harnessed Lightning is countered, do you still get the energy?

No. Gaining the energy is part of the spell's effect. If the spell is countered, it has no effect. This includes things like your opponent giving the creature Hexproof. The spell will have no legal target and will "fizzle" (be countered by game rules) so you will gain no energy.

It's important to note the distinction between things that counter the spell and things that make it have no effect. If your opponent gives their creature Indestructible, for example, you still get the energy even though you can't destroy the creature anymore. You just choose to pay zero energy and keep the three it generated for yourself.

And what if instead it's a creature, like Voltaic Brawler?

Voltaic Brawler generates energy as a separate effect after it enters the battlefield ("ETBs") and becomes a creature. If the creature is countered, it never enters the battlefield and the trigger that would generate energy never goes off.

If the creature is able to enter successfully, however, the energy effect is separated from the creature entirely. This means that it can be countered without affecting the creature (for example, by using the "triggered ability" clause on [[Disallow]]) and also that if the creature is killed before you get your energy, the ETB ability will still resolve separately to give you the energy even though the source creature no longer exists.