Ungrounded adapter + clean mains power = probably no zap
Grounded adapter + bad mains power = probably no zap
Grounded adapter + clean mains power = no zap
It's not just the adapter and it's not just the mains power; it's when both come together. Electricity follows pretty simple rules when it comes down to it.
Always always always ground your A/C connections. Why wouldn't you?
Also, never use one of these unless you've attached the little wire/alligator terminal to a ground somewhere:
http://www.prestonelectronics.com/audio2/ttip/images/gndadap...