Warnings:
Van de Graff generators are actually among the safest of electrostatic devices, and it's actually hard to get hurt with one. There are some general things to consider.
1. If you have a pace maker, stay away.
2. If you have a watch, calculator, computer, or other electronic device, keep it away, typical Van de Graff generators generate around 200,000 volts, and electronic equipment can be very sensitive to static electricity.
3. Don't point at anyones eyes while you are charged and don't point at anyone else's eyes that is charged, electrons actually discharge faster and more readily from pointed objects like fingers, and getting a zap in the eye could cause some serious damage.
4. Some more expensive Van de Graff generators use a high voltage power supply. After a lot of use enough of your brushes can rub off on your belt to make it actually conduct electricity. With your VDG in this state when you touch the dome you are directly connected to a high voltage power supply that is directly connected to a wall socket and it can push some current through your body, this can cause serious injury, severe burns, or death. If you are using a VDG with a high voltage power supply excercise caution and check to make sure your belt hasn't become a conductor before playing with your VDG.
5. Don't try to condense or store the charge produced without full knowledge of its dangers. Translated into english that means avoid connecting any capacitor to any electrostatic generator.