Electric Guitar at an outdoor show - Grounding issues?
YES, you should not plug in without testing the ground, and you really should be protected by a GFI when playing outdoors. It is dangerous because you could be shocked or even electrocuted by playing without a ground or with a faulty ground. The guitar player for The Yardbirds was killed this way, look it up.

You can test for ground with an inexpensive plug-in device you can buy at any hardware store.