The first thing that came to my mind is - would anybody give a sh** if a guy dies doing a puzzle or planting potatoes, because it is what he loves/loved?

I have the impression that risky sports are absolutely overhyped and the more risky your moves the more groth your heroic status gains. It's always been this way and it will never change. I keep it like Mike Tyson's coach used to say. There are fighters and dancers. I think the guys who get a rush/kick out of base jumping and putting on a crazy smile, because the adrenalin blocks all their ratio are the fighters. I consider myself a dancer and am totally with what SVL says in the above post ^. Sometimes you have to risk something, don't run around scared all the time, but the risk should not be hazardous to your life!
Despite of that I can understand those folks who risk their life, like motocross jumpers, base jumpers. It's their way of life and as long as they do not put the lifes of others on risk with their action it's okay.

To answer the initial question. Death is nobody's friend. Would it make a difference if I died playing the guitar or doing martial arts? I'd rather be in the arms of my loved ones, but this is because I set familiar priorities, always! I personally find the utterance "At least he died doing what he loved" a little inapropriate. Living is always better than being dead. The fact that someone dies doing what he loved doesn't ease the grief.