The capacitors used in microwaves almost always have an internal bleeder, they will be discharged within a few seconds of turning off the oven. Whenever I work on a microwave oven though I clip a jumper lead across the capacitor just to be safe.
The transformer and capacitor are both potentially dangerous, but ignore the hysteria and instead use common sense. I was playing with this sort of thing when I was 12 years old and I'm still here. HV should be treated with respect, it can kill you but so can many other things, crossing the street for example, but it does not need to be feared.