it's definitely best to turn it off before you stick a screwdriver in, yes :D
The potential danger is from capacitors, they can hold a charge and you might accidentally discharge it with a screwdriver across the terminals which might not harm you but be a nasty surprise - when we were kids we'd do it for a dare and I saw one person melt a copper-tipped screwdriver. They can also explode and some of them have nasty stuff inside them. It's been so long since I did this stuff seriously (like nearly forty years) that I just wouldn't want to take the risk, especially with old components like this.