Is it safe to use the oven with no light bulb in it at all

What you are looking for is a 40A15 Appliance Rated Lamp. If you can find 130V buy it, but the lamp does not stay on long enough to really matter. Believe or not it's the same as what is in your refrigerator. I did a quick search and this is what the Home Depot says (I don't work for them, actually they are the competition, kind of):

The GE Reveal 40-Watt Appliance A15 Light Bulb uses neodymium glass to filter out dull yellow rays for enhanced, vivid results. The bulb is an ideal choice for use in household appliances like microwaves, refrigerators and ovens.

Light output: 320 lumens
Energy used: 40 watts
Life hours: 1,000 hours

Assuming both the original and replacement were both standard incandescent oven lamps, then there is no problem installing a lower wattage other than less light. Do double check your new bulb is for the correct voltage for your area. If you bought it locally, it should be. If you mail ordered it, and you live in a 220v area, you may have gotten a 120v lamp. Putting a 220v lamp in a 120v socket would be harmless, though a very dim light source.

Even though heating elements and supply for ovens are often double the normal mains voltage, all ovens I've had experience with have the ancillary things like clocks and lights running off normal mains voltage.

Static shock is easily distinguishable from mains current. With static shock you first get a tiny little spark (which may not be visible, but feels like one) and then nothing if you continue touching the surface. Mains power throbs at 50 or 60 cycles per second, and there is not usually any spark between you and the conductor, and current continues as long as you are in contact. While mains power can kill at full strength, stray currents can be small enough to just be unpleasant, but still an unsafe situation that must be rectified immediately.