As far as I know, here in America one of the prongs is alternating from 0 to 170V, with RMS being 110, and the other one is 0 constantly. Grounding is for such appliances where a wire may break and touch the case, thus hurting the humans who are nearby; and to avoid that, grounding is connected straight to the case so that a short curcuit would happen immediately, keeping everyone alive. Again, I may be wrong; but this is what I recall from my Physics class.

So the lack of one should worry you if you have an old device and often go barefoot on moist floors. I haven't had anything happen, and, remember, my and Green's computers are on 24x7. So I really wouldn't worry about it. (As our landlord said, if you do, tie a wire to the water pipe, it'll be equivalent.)

If anyone wants to dispute me, by all means: I want to know if I've erred.