Most will disagree. Here is my story.
A few months back I converted a Road Show to LEDs. Yes, I did it with the power on and coin door open. I like to see how the game looks and takes shape as I add colors without having to reboot a game endlessly. After 30+ bulbs installed I added 1 more and instantly blew my fuse on the GI. Perplexed, I was thinking I should have listened to the advice of leaving the game off all along.
After diagnosing and replacing the blown fuse, I grabbed a different bulb as they were in a pile. Got several more bulbs into the conversion and damnit, lights out again. Same fuse. It got me thinking, what if I grabbed and inserted the same bulb again and it's a bulb issue. Highly unlikely, but let's try it. Replaced fuse and kept this bulb aside. Put said bulb back into the socket again and surprise surprise, lights out. Replace fuse for the umpteenth time. This time I grab a different bulb and had no problems throughout the rest of the game.
Put the suspect bulb in the GI on my FG. Fuse instantly torched. I indeed had a shit bulb. It happens. I even contacted the seller about this, although rare they said it has happened a time or two in recent past.
Now let's look at it this way, if I took said suggestion and installed with no power, I would have blown the fuse still and then would have tried to diagnose for days and weeks what the issue was. Many of you would have provided great things to assess the situation. In the end the only hint that would have worked in this case is to strip all 200+ bulbs out of the game as I would have had no idea it was a single bulb or which one it was. Could have really screwed me for a while. Then test every single bulb to see if it was potentially one.
I will now and forever change bulbs lights on. I remain careful and don't use tools while the power is on, fingers only. Just my experience though.