The accepted answer is incorrect.
The outer wire sheath carries V-, connected to the outermost MagSafe pins. It's also connected to the inner metal part of the MagSafe connector, the part that snaps with the magnet. All of these were verified with a multimeter.
When connected, it connects with the MacBook's ground system (checked with a multimeter). There's continuity between that metal sheath and GND, such as the outer metal part of a USB connector.
It's wrapped around an inner wire, which carries V+. Presumably, that's to help reduce RF emissions.
Why aren't you shocked? Most probably, your body simply doesn't make a good electrical path.
I also cannot feel a shock when sitting on an office chair. However, I do feel a tingle when leaning against something earthed, like a concrete wall. It gets stronger the harder I lean against said wall, which reduces resistance to earth.