There are some that seem dangerous, but really are safe. For those activities, you must be brave enough to give it a try. The rewards are great. Walking on red-hot coals seems very dangerous, but if properly done, it is relatively safe. By being assured it is safe and seeing others do it in a controlled environment, you can overcome your natural fears to literally walk on fire.
Sky diving The consequence of failure in jumping out of an airplane with a parachute is death.
Even when properly trained, the fear can be great. The percentage of ski-divers that actually get killed is small, but it still is quite a risk. The thrill-seekers that do it, get a tremendous rush of confidence. Taking a jump into deep water and actually swimming, despite the perceived threat of drowning, can be a brave move. That person will be confident to do it again, and that confidence can reflect in other activities.