Everything you do bears some risk of getting you hurt or killed. That’s just the way life is. Some people drown in the bath, and others get kilovolt AC across their heart. Knowing the dangers — how drastic and how likely the are — is the first step toward mitigating them. (We’re not saying that you shouldn’t bathe or play with high voltages.)
This third chapter of an e-book on electronics is a good read. It goes through the physiology of getting shocked (DC is more likely to freeze your muscles, but AC is more likely to fibrillate your heart) and the various scenarios that you should be looking out for. There’s a section on safe practices, and safe circuit design. It’s the basics, but it’s also stuff that we probably should have known when we started messing around with electrons in bulk.
There were a couple of things that seem common sense, but are worth repeating. Since your arms are essentially resistors in parallel, touching something at high voltage with both hands passes twice the current through you as doing the same with one hand. Hence the keep-one-hand-in-your-pocket rule.
Rings, jewelry, and anything metal that’s connected to your body dramatically decrease your resistance. While 30 V is generally the threshold where skin resistance alone isn’t enough, you can get shocked badly by only 12 V if you’re sweaty and wearing a tight metal watchband. Do the math.
For more practical tips, focusing on mains voltages, we really like [Jenny List’s] two-part series on working with mains voltages.