I have a friend who once pointed his finger at a Jacob's ladder and asked
"What's that?". A spark jumped from the terminal to his finger, and he jumped a
meter or two back! Fortunately it did not harm him in any way.
Plexiglass is quite good protection. If the plexiglass is too close to the
electrodes you may get a static build-up that could nip you, but it is quite
harmless.
(If a spark were to somehow find it's way through the plexiglass due to it
being stuck between a terminal and ground say, it would create a
permanent carbonized, conductive "tunnel" that is a good conductor - but that's
not likely to happen.)
Yes, glass, prespex or plastic tubing around the ladder will make
for a better display. It will keep stray breezes and curious fingers
away from the arc. The tube will also act as a chimney, and you
can make the ladder longer. I use brazing rods soldered end on end.
'Silicon Chip' Magazine in Australia published a kit for one this
month.
cya