I'd say it's a mixed bag of safety, liability, and legality that will vary widely between products. Some quick examples:
Safety: if you sell an appliance that operates on mains (hazardous) voltage, there are standards in place (UL, etc.) you should be following in order to prove your design doesn't allow that high voltage to easily come in contact with a person. So for your Arduino thing, as long as the power adapter that you source is already certified, you are probably good to go.
Liability: Closely related to above; what if your device is involved in a fire? There are flammability requirements for devices for different environments, and certification will help you prove you did everything you were supposed to in order to prevent your device from starting or propagating a fire. Again, not as big of an issue once the voltage is stepped down to <= 5 VDC.
Legality: mainly, FCC (in the USA) comes to mind. It's actually illegal to sell radio devices using certain frequencies unless they are tested and approved by the FCC. You can buy an FCC-certified radio modem or module to get by this one quite a bit easier. Medical devices are an entirely different can of worms (FDA, etc.).
So, it really depends on the use case for your product. What are you planning to build?