This is why I used to love playing EVE Online (in Goonfleet). Since ship loss (and now monetary loss) is permanent and fully sanctioned by the developers, it's way more thrilling and nerve-wracking than just dying and going on a corpse run. Not to mention the hilariousness of blowing up someone's shipyard hours before their Titan finished building (back when they were rare and represented months of an alliance's resource output).

I guess the closest thing in real life would be playing high-stakes poker.