Yeah I've been zapped a few times myself, everything from low voltage-high current burns (12V car batteries are more dangerous than you might think) to in excess of 25KV from CRT TV's.
Then again I did work for 10 years in the electronics repair industry so, like my counterparts in the game, I tend to wear those wounds as a badge of honor
Seriously though, the checking after you discharge bit is very important.
Large caps, exactly like the ones you find in a tube amp WILL, over time, charge themselves back up somewhat after you have discharged them. When working on an amp you could probably leave your filter caps shorted with a clip lead whilst working on it to ensure you don't get zapped, but you had better remember to remove that lead when you fire it up. Unpleasant things can happen if you turn on an unfused amp with the filter caps shorted to ground (trust me....) I wouldnt worry about measuring the voltage as a test though, just "Zzzzzzt" short them out before you touch anything and if you get up to have some lunch and come back an hour later, discharge them again.
Incidentally, the worst offenders in this regard (that I've seen anyway) are CRT's. They are gigantic caps themselves and the just -love- to recharge themselves from the air. The caps in MWO's are killers too. Forget 600V caps in amps, these puppies run into the KV range.