the above advice (not lovekraft) was all wrong, grounding the strings, brings a chance of getting shocked, this is a rare appearance, and probably will never happen to you if you play only at home or gig at one place, but if you tour a lot, and gig at many places, the chances of a badly grounded socket incereasem especially if its an outdoor concert, also so does the possibility of tube amp failure, if you groun d the bridge, and because of faulty wiring in the socket, the ground becomes live, you will have a verry nasty and potentially deadly shock when you play the guitar, but then again not grounding the bridge/strings, increases hum about 2 fold, do the best thing to do if you are worried is eaither to wire it through a cap, or what in my oppi9nion is better, wiring it through a fuse.
also black mariah's answer is also bullshit, you are not the ground, actually you are the one being grounded, i think theres something on thios in the guitar nuts page listed by lovekraft. of course there is a chance of you being the ground, but how aoften are you playing with your feet on a steel block, or in a puddle of water, so that you do turn into a ground also the only other time youd do become the ground, is if the voltage is lethal, as in you have a few hundred volts going through your body that can jump to the nearest equipment (microphone etc), or throuigh the ground if its strong enough.
edit: here is the guitar nuts page on shock hazards