Danger? That's relative. What's dangerous to some is not to others, but I am generally not averse to dealing with danger if I deem I have the skills necessary to engage it and be victorious, it's on.
Physical discomfort/pain? Ummm...I don't seek these things, but I am not afraid of them. If I get an ouchey on my knee as a result of me taking on something I thought I could handle then I'm not going to cry to my Mommy about it.
Exactly what I wanted to say
Danger is entirely relative.
Entering a burning building is very dangerous for a untrained civilian. But a professional firefighter is mentally and physically trained to do this, and properly equipped.
I think of danger in terms of calculated risk. I consider the possible physical risks to myself, and then consider my capability or skill to take on this risk.
It's sorta like blackjack, except blackjack has much more random unknowns so it's not the best comparison. But for example, to hit on 19 would be incredibly risky and your chances of losing are pretty high.
As for physical discomfort, I would have to say I do enjoy these in a sense. I don't enjoy them because they are painful or uncomfortable, that would be sadistic. I don't hurt myself to feel pain.
I enjoy all sensations simply for what they are, "good" or "bad" sensations. If I am climbing up a mountain road on my bike, chances are that the effort required by my body is going to be fairly high, perhaps near my max. Operating your body at or near it's maximum effort is not at all "comfortable". You are breathing at full capacity as hard as you can to maximize gas exchange, sometimes this causes a searing sensation in my lungs. Your muscles are generating lactic acid that your body can't get rid of fast enough, so it accumulates in the working muscles and causes a burning sensation. If I go at my max for long enough and accumulate enough lactic acid, I will get this nauseous feeling in my stomach. I've known people to throw up from pushing their body.
Persisting through these sensations for extended periods requires a lot of willpower. During this time I don't think of them as pain or discomfort. I think of them as sensations, feedback from my body telling me whether I can go harder or if I must pull back a little.
Once I crest the top of the mountain, and I'm able to catch my breath and let my muscles recover and stop burning, the sensations of pain and discomfort are replaced with blissful sensations of what I have just accomplished and the fun I'm about to have speeding down this mountain.
So, in short, it's not about experiencing discomfort, it's about sensing period. Pain and pleasure are the yin and yang of physical sensations. For me, experiencing one makes experiencing the other even better.