There may be a three-pin mains plug, but the safety earth pin might not be connected to anything inside. Equipment like this should be marked with the double box logo (a square within a square) and is referred to as 'double insulated' or Class II.
In these cases the equipment has no connection to the mains safety earth, but the nature of the power supply can be such that the nominal equipment ground voltage can rise electrostatically, to about half mains voltage. That's what gives rise to the 'furry feeling'. It's not dangerous, but can be irritating. Tying the equipment ground to the safety earth via an external cable will cure this problem (as will running on batteries, of course).
Technical Editor, Sound On Sound