early SMPS supplies would go into shutdown if they were unloaded. the early IBM PC power supplies are an example of this. the simplest way to test them was to connect a hard drive to them.
most newer SMPS supplies aren't so picky, especially ones of the "wall wart" variety, they should have voltage at the output whether loaded or not. some "green" SMPS supplies may revert to the old way, however, to save energy when the load is removed, or the device it's attached to turned off.
a lot of power supply testing is done with active loads as well, usually a MOSFET and a variable voltage source. this is for dynamic testing. for instance a power supply rated at 10A is operated at 9A, and the mosfet is fed a repetitive pulse that periodically takes the current to 15A for 10mS to see how well the supply can handle the transient loading beyond it's continuous rating. you don't need to get so fancy with a test load, a simple resistor will suffice.