Now, I'm all for jumping out of planes. Throwing yourself out of a perfectly functional plane is one of the most wonderfully surreal feelings around, and it's a great way to conquer your fear of heights, if you're into that. Once you reach terminal velocity, falling is pretty relaxing. Furthermore, skydiving parachutes have safety measures built in -- most of them will activate your parachute if you're below a certain elevation (I want to say 750 feet?) and haven't deployed your chute yet. In other words, even if you pass out, there's a chance you'll be okay.
The idea of not using a parachute adds a new dimension, though. Maybe some people want to face death. Maybe people love the high they get from overcoming it. Maybe they just want to feel more like James Bond.
And then there's this guy:
He has somehow managed to hide a parachute in his pants. Yeah, I don't really know how that works for him.