Safety wise rarely I work with anything too risky. I tend to keep my distance, wear gloves, use a chicken stick follow the basic one hand rule. I have one chicken stick with various resistors and an LED to discharge kV type caps.
Outside an old NST and a high current kVDC supply, the only thing that concerns me is a small transient generator I put together to test handheld meters. One can put out 20J at about 6kV over 10s of us. It has so many safety features designed it, it's very low risk to operate. The other is low voltage but can deliver about 600J over 10s of ms. Nothing like Photonicinductions death experiments but certainly enough to be lethal. Because of how it works, that system is far from safe. I strap the outputs before handling the meters that are connected to it. I also keep my distance, not because of the high voltage but sometimes I will get debris flying through the air. I also wear eye protection for the same reason. I made a box with a Lexan cover to hold the meters but normally run them with the door open to get a better camera shot.
I've used light bulbs for test loads and have had them along with some glass fuses come apart. If I am playing with anything glass and high energy where there is a potential for shards of glass to be flying around the office, I contain it.
Outside of that, I keep Halon in the office. Keep the critters out of the office if working with anything risky. Warn my wife.