@Setanta,
As a former hunter of dangerous animals (bear and boar), minimizing risk was a main concern. I think that's one thing that spurred on advances in weapon technology. Why take a risk if it's not necessary?
I'd go more along the lines of enjoying the rush of adrenalin and endorphins, not only during the risk-taking adventure, but also when you're telling the story to all the grunts back at the campfire/bar. Assuming you survive.
Anyway, I think religious thinking stimulates the release of feel-good hormones, and if true, that's sufficient to explain how/why people enjoy the behavior so much. Not so different from bungee jumping, skydiving or burying your face in an ample bosom.