The multimeter did explode, and it turned out that I was measuring voltage- and had the lead going to the amp section of the meter, so it kept showing 0 after its fuse blew. I figured the socket was dead, good thing I didn't stick my fingers in there.
The nice meter I have would probably blow a fuse if you connected it to the wall on the current setting, but it's a fast fuse so the rest of the meter would be fine. The fuses in really crappy meters are often quite slow though, so they will blow and cut the circuit but not before the meter gets fried.
There are different levels of "crappy" though. A lot of the cheap meters you can get nowadays are safe enough to jam in the wall, I'm not saying "oh you've gotta spend $1000 on a multimeter or you're gonna die." But if you're gonna probe high voltage you'd better get something nice. I have a $5 meter that claims it'd be good at 1000 V, but that is obviously a lie and would be suicide.
Most multimeters I've seen, cheapo or not, are rated to at least 1000V (sometimes 2-5kV). Now, as with all cheapo chinese electronics, you have to assume there is no safety margin on that so I wouldn't probe 1000V with such a meter. But 110 or 220V? Go for it. I'd be genuinely surprised if any common multimeter can't handle that (assuming it's operated properly, set on the right scale and such).
A fluke meter rated for 2kV can measure 2kV, because you know they have a decent safety margin there.
* Fluke 113 - $110 CAT IV 600V
* INNOVA 3320 - $25 CAT I 300V
* Mastech MS8229 - $50 This one is CAT II 1000V
* Extech EX330 - $50 CAT III 600V
* Brymen BM235 - $125 also CAT II 1000V
* Etekcity MSR-U1000 - $40, CAT III 1000V <- definite winner if it's true
All of those except the INNOVA would be ok to test on an outlet in terms of their safety rating, but most of the really cheap meters I found (<$15) are CAT I rated, meaning not safe to plug into the wall because they aren't rated for high power circuits. Sure you'll probably be OK, but I'd rather be confident.
My comment though was more along the lines of whether or not you trust their ratings. For example, I'm kind of suspicious of the rating on that Etekcity meter and I don't know if I'd be comfortable plugging it in to something really killer. My point was, if you want to really be confident you have to pay for the engineering and legal liability.