Well when you complete a circuit or are shocked. You do so because of

1 you're the path of least resistance. Meaning your Ohms is less than AIR and EARTH. So it is easily passing through you. Not to mention blood being full of iron is a pretty good conductor. Unless you can make yourself separate or not a ground. This is why distilled water is used around electrical components it can't pass through it nor will it short out, as well as Faraday cages/suits, that equalizes you to the potential trying to ingress. So if it's 1 million volts you will be equal to it and thus not harmed. Granted it is amperage that kills you voltage at a certain point has an enormous amount of pressure and can also kill you if it explodes. This is how tasers work... high voltage low amperage... it hurts but won't kill you (typically).

2 Electricity wants to disappate because it's polarity, be it negative or positive charge it cannot stay so close to other like charges so it pushes in any direction it can easily travel to earth. Thusly you being the conduit. You suffer from it.

Most things besides earth/ground do have what is known as an avalanche point or breakdown. Air is 1 cubic inch per 1000v. So at 1000v electricity in normal air conditions (normal humidity) will jump 1inch of air to another lesser potential as a means to get to earth.