It should be mentioned that this thread's advice is for changing tubes in PREAMPS ONLY, YOU MUST WAIT A FAR LONGER TIME WHEN CHANGING TUBES IN AMPLIFIERS OR RISK ELECTROCUTION.
This statement is incorrect, unless the amp has to be opened up and there are exposed voltages near the tubes.
Aside from getting burned, there is no reason why you should avoid contact with the glass envelope of a tube. Tubes do not get so hot that oils from your hand could lead to failure.
Its a Bad Idea to handle tubes by the glass, because the oils on your hands will allow dust to adhere to it, raising the temperature of the bulb. Tubes need to get rid of their heat- otherwise it can lead to early failure.