I once connected two AT PSU's 12 volt lines together, for more Amps. Turned the first one on and it started to spin the second PSU's fan. I never did turn the second PSU on. I was too scaried I must blow something up. I ending up using a better PSU (more Amps).
That being said, nothing should blow up. As long as one or the other PSU is off. I don't know about possible long term damage.