Is a charged capacitor in a power supply dangerous?
It depends on the voltage of your circuit. If you're using a transformer and you're producing under, say, 20VDC, there's no problem. 

But if you're actually using the line (120VAC in America, 220VAC elsewhere) directly, you'll need a 'bleeder resistor' in parallel with your smoothing capacitor. Otherwise, the cap will remain charged and will discharge into the first resistor bridging its output, which can be YOU. 

THe resistor will discharge the cap when the rest of your circuit is off. You choose the value low enough so that while ON, you aren't drawing an 'unacceptable' amount of current (this is up to you), but you also want the RC constant on the order of a few seconds or so (so that a few seconds after switch-off the cap is discharged). For your cap, 4700uF and say a 2 second rc constant, that's about 425 Ohms. 

Just keep in mind the name: it's a 'bleeder resistor' because while your circuit is on, it's always uselessly drawing some current. So, account for this when you are budgeting your maximum current draws. 

What you could do if this is a problem is to use a multipole switch; on switch off, send the cap through the resistor. I'll leave it as an exercise what kind of switch (DPDT, SPDT, etc.)  ;)