I've worked on a few saltwater aquariums and have not been shocked. I have done work for a "fish tank cleaning guy" that probably works on 30-50 different salt aquariums a week, and I know none of them shock him.
I don't think it's safe to say that it's common to recieve a shock in saltwater. You have a problem with your equipment, find the problem and get rid of it or the equipment. Also, you should put all your saltwater equipment on GFI's. I have found faulty pumps tend to trip them out, especially the cheap pumps from overseas. Check heaters as well.
