I'd guess I've been shocked hundreds if not thousands of times, one gets used to it. However, it's not the electrolytic capacitors that are charged to 250/350 volts that one worries about, if one works with high powered transmitters or similar equipment then their power supplies have capacitors that work at many thousands of volts which can remain charged after the equipment is switched off. Get across one of these and it's likely curtains, they're lethal.
Special precautions should be undertaken to discharge them and to ensure they remain discharged. Just discharging them isn't enough as a capacitor's dielectric 'relaxes' after being stressed by the voltage and its dimensions change which partially recharges the capacitor. To avoid a partial recharge its electrodes are short-circuited with wire while doing maintenance. This too can be hazardous, failure to remove the wire afterwards can lead to much damage.
The biggest jolt I ever got (also as a kid, I guess I must've learned eventually) was from a giant homemade capacitor I thought I had discharged fully after charging it with a van de Graaf generator. I fully grabbed both electrodes at the same time - very stupid, not as stupid as pulling the trigger on a gun you only think is unloaded but stupid in a pretty similar way. Must've created a circuit right through my heart. No idea what it's capacitance was, but it was made of I think about a foot of 2 inch PVC and aluminum foil, so not insubstantial.
But I don't have any scars, so I guess I got off easy!
Good memories.