Drilling into live cables is dangerous, as there is a real risk of electric shock.It can be very disruptive as you need to get the damage repaired afterwards. Drilling into a pipe is not usually dangerous, unless it is a gas pipe. Again, you could be left with a significant repair job, and possible water damage to walls floors etc.
You can buy electronic detectors from DIY stores which will find pipes and cables in walls, some will even find the wooden battens used to fix dry lining to the wall. This can be useful, as they are the best place to put screws in to support shelves etc. Hope this helps.