Capacitors resist changes in voltage. They charge up like a low capacity battery and then store voltage. Touching them can cause them to discharge and shock you even after input power is removed.
Other parts get hot because current flow produces heat.
When testing insulation values on wires with an insulation tester, the wire can act like a capacitor and you need to touch the conductors in the cable together with a screwdriver or the next person who handles the cable can hurt themselves.
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