As a general rule do not have a tube amp on without a load (speakers) attached. There may be a few tube amps that this does not hold for, but don't find out by mistake that yours is not one of them.
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I have purchased 100 watt 8ohm dummy loads from Parts Express just for this purpose. Pretty cost effective at $13.50 a pair. They work great and they genereate no sound although they can generate some heat. Easy to keep those tube amps warmed up without any speakers or damage. Check it out at: http://www.parts-express.com/pe/showdetl.cfm?Partnumber=019-020
Although it is unlikely, it is possible to damage a tube amp with no load connected if you play a signal through them. The transformers act like big inductors without a load, storing up energy and releasing it, and since the only place for it to go is back into the output tubes it is possible to damage the tubes this way. With a solid state amp it isn't a concern.
If you're not going to put a signal to them it is highly unlikely any damage would be done, but the dummy load idea is a good one just to be safe. Radio Shack sells cheap resistors you can use. Solder some banana plugs to them to make them easy to use.
Transformers CAN'T, "store" anything, or feed anything back into the amp. Neither SS, not tube amps will suffer, IF THERE IS NO INPUT SIGNAL. I've turned on, and tested amp circuits, voltages, etc., with no speakers/loads attached to the outputs, for decades, with no damage. BUT- ANY input signal(even touching the inputs with your finger), on a SS amp, can be disastrous. The output devices MUST have a load to dump current into, or most will overload/fry. On a tube amp with an output transformer; the x-former acts as the load that the tube, "sees." Less chance for any damage to the tubes, or amp, without speakers attached. If you are worried; you can connect a pair of DUMMY LOAD RESISTORS, such as Mr M suggested, or these(http://www.mouser.com/ProductDetail/Ohmite/C300K10R/?qs=sGAEpiMZZMtbXrIkmrvidP2I4HgSKt85zTh%2fvGSbGfI%3d)across your outputs. Anything smaller(you won't find anything big enough at Rat Shack), and you stand a chance of damaging an amp, should an accidental input occur.
FYI for anyone interested
I will not be drawn into some endless debate but Mr Rodman is wrong on most counts. Kijanki is correct. SS voltage sources don't care if they have a load or not.
Transformers do indeed store and release energy. That is why tube manufacturers caution you to always have a load connected. That is why many guitar amps have spike protection across the output tubes in case there is a voltage kickback from the inductance in the transformer.
Radio Shack has 20W 8 ohm resistors which are plenty for the purpose of protecting the output tubes unless you want to drive the amp with an input signal
Herman is correct in referring to inductive kickback that will occur in the output transformer of a tube amp in the absence of a load, and Rodman is correct in that damage is unlikely to occur in the absence of an input signal.
However, "unlikely" does not mean that the chances of damage in the absence of an input signal, when there is no load, are zero. Depending on the specific design it is conceivable that transient "signals" which the amp's circuitry may create internally at turn-on or turn-off will induce significant inductive kickback, which could cause damage cumulatively over time.
The most significant concern is not damage to tubes, but the possibility of damage to the transformer itself, due to the extremely high voltages that can be briefly produced when the current through an inductance changes abruptly.
Concerning SS amps, my understanding is also that in most or all cases the absence of a load will not be harmful.
I'll respectfully disagree with that but have no hard science to back me up.
"Most tubes are cheap compared to the price of good output transformers. "
Either tubes or transformers are more likely to be damaged.
The price has nothing to do with it.
I have seen circuits designed to protect output tubes from kickback. I have not seen any designed to protect OPTs. I have seen quite a few output tubes fail and very few OPTs fail.
For those reasons I think it is the tubes that are in danger, but in any case, running tube amps without a load is a bad idea.