The reason you can touch Tesla coil outputs and not scream in pain is because the nerve endings all over your body stop responding above 1khz I think... And that's for true AC, not pulses.
However, while you don't feel the pain, you can still get RF burns which are very painful. It basically cooks little spots of your skin wherever the arc strikes. You can see them as small black dots.
Also, Tesla Coils do not step up that much voltage.... I think for most average sized coils they go up to 400-500kV. Nowhere near 1 megavolt.
And marx generators are pretty awesome. CW multipliers are even cooler, because the rep rate is continuous enough that you can draw arcs from one! That and you don't have to worry about adjusting spark gaps.
Just thought I'd add that stuff in.