As other steelies have mentioned, it's definitely the amp, not the PS.
If you're playing through an old fender have the infamous "death cap" removed + install a new three prong power cord, that should get rid of the nasty shocks. Removing the death cap is a simple as clipping it off, but all electrolytic caps must be discharged before doing so, they store very very very high voltages, even after the amp has been unplugged.
However, if you're playing through a solid state amp I'd have that checked AND your grounding connections at home... Someone above described it perfectly - you're acting as the ground when you touch something like a mic, closing the loop...
Tell us a little bit more about your setup
