It is not ILLEGAL to open a PSU, at least not in the USA. But it is
UNWISE. The power capacitors inside store a lethal quantity of electricity
in them long after the PSU is unplugged, and so you can kill yourself. (I
suppose killing yourself could be viewed as illegal...)

Lethal? Maybe if you're wearing a ring and hanging onto a grounded point
with your other hand. Otherwise I have to disagree. The voltage may be high
but the total energy is unliikely to kill you unless you work hard at it.

If you open up the power supply for a CRT-based monitor or TV, the
high voltages (can be over a thousand volts) on some pretty hefty
capacitors can kill you even if it's unplugged. You still might
need to be fairly stupid to get killed, like grounding yourself.
But I think it is possible and has happened numerous times that
someone can kill themselves by accident.

And yes, I've survived getting zapped, not only with it unplugged,
but with it plugged in and operating and sticking in probes to
measure voltages. In older TVs, the power supply is not a separate
part sealed in a metal box. The high voltages aren't all in the
power supply, either. Use *one* hand and don't ground yourself.
If you don't need it to have power while you are working on it,
unplug it and let it sit for a while. Watch what you touch. And
if you don't know what you are doing, don't try it.

If you open up the power supply for a computer (motherboard, not
CRT monitor), which typically outputs voltages like 5 and 12 volts,
you're a lot safer. The *input* voltages are higher, but since
they are AC, any capacitors on the input side won't have much stored
charge after you unplug them. With it plugged in, there will be
higher voltages present. It's not a real good idea to stick your
fingers in a light socket, either. You don't worry about touching
both ends of a battery when picking it up, do you? The voltages are
low enough to not present a danger.

Sticking your tongue on a 9-volt battery may be unpleasant, but it
won't kill you. Connecting myself to a 12V car battery via jumper
cables in the process of jump-starting another car doesn't even
tingle if you have dry hands. (Warning: the ignition system has
much higher voltages. Do not hold on to spark plug wires while
cranking the engine).