The fun is that capacitors work even when power is off, so if they had several caps together and one was the wrong way round or the power supply was off but not disconnected OR the capacitor was already charged beyond a point of no return, it'll blow.

While they look fairly harmless, one should also never forget that capacitors are the most dangerous part of any electric circuit; they don't become safe if power is off and they have no limit to their current other than "what the wire can do", which is usually northwards of "the wire evaporates".

I've experienced various caps burn their legs and solderpoints in less than a millisecond without warning once a short was realized. And on top of that, the huge currents running through wires not intended for that will usually cause quite a bit of inductive backlash in nearby components.