Electricity is only dangerous when your dealing with high current not voltage! This is such a common mistake because they highlight voltage on signs etc to warn people. The reason they do this is because its more appealing in a way for people to read 33,000 VOLTS rather than its probable 250Amps etc. Current kills/damages and voltage doesn't. This is why you stand and get whacked by a 1 million voltage Tesla coil and not suffer anything and some people even sit on the Torrids at shows.
The only thing you need to worry about is muscle/vein damage with higher powered muscle stimulators like for work outs etc. With these if your not careful and its ramped up you can rip and damage areas, I know from experience. The only thing with zappers you should watch is not to use them above the neck and not near the eyes, brain or temples as you could lose vision or certainly see double vision for quite a while like months in some cases. 20mA and more if dangerous.