I know i had this problem when i used a tube amp with a power cable that didn't have an earth wire on it.
Some of the earliest amps didn't have earth at all and have to be modified to make them safe. Otherwise this is generally when the amp has the two pin "Euro plug" - which is supposed to get earth from a pin in the mains socket, but plugged into a simple 2-pin adaptor, the amp is unearthed. You should always make a point of cutting those plugs off and fitting a good, solid three pin plug (I like the heavy duty rubber top ones).
Another common one is an unearthed PA - your lips end up supplying a short path to earth as you step up to the mic and can get a small shock. Not usually a huge issue, but if the amp gets a serious fault and real voltage tries to ground...
I still hesitate when i approach a mic
I always have, but that's not shock related (except maybe from an audience perspective) ?