It's the current that kills (100-200mA). I acquired a 5kV / 30mA neon sign transformer when I was a teenager, did a lot of experiments with it, and never got shocked. Every now-and-then I still fire it up for a few zaps, but I'm not scared because I'm cautious. Due to it's construction, it's not supposed to be capable of producing a fatal current so even if I did make a mistake, it probably wont cause me to die.
On the other hand, the 2 MOTs I have are terrifying despite being much lower voltage, and I've only fired them up twice with 5-foot hotsticks. One tiny mistake, and I'm dead. Period. Game-over; no extra lives. The arcs are pretty wicked, but it's far better to watch someone else do it on youtube. The only reason I've kept them is for a possible Tesla coil project, or neon-tube bombarder, but that hasn't happened even after 20 years and probably never will.