There are an ever increasing number of dangerous things people do for pleasure, such as jumping off cliffs and bridges with a parachute, climbing buildings without any safety gear, or being close to dangerous animals such as sharks, crocodiles, and others. But probably the most danger that people undertake is inside closed doors, through the concept of sado-masochism, where a person deliberately hurts himself to enjoy the pain. Consider the case of this famous person who killed himself when cutting off the oxygen to his brain to experience the pleasure that it provides (link to article):
Kristian Digby, a TV presenter working for the BBC, was found dead in his apartment after his bid to get a thrill from a suspected solo sex game apparently went wrong. Digby, 32, is believed to have suffocated while starving himself of oxygen for sexual arousal.
Auto-erotic asphyxiation (AEA) is a dangerous form of sex play in which the person engaged in the act intentionally cuts off oxygen to the brain for sexual arousal.