I'm an active Skydiver in the UK (>100 jumps a year) and I always bring it up.
There are lots of reasons to bring it up. It can be used to show that you properly understand and can appreciate risk and risk/reward.
It shows that you have a passion outside of work, which will help you not burn out or live just to work.
If I was an employer, I'd want to employ people with active lifestyles and pass times they love and I want to work for a company that values this aspect of a person's life; if my passion is a deal breaker then I'm not sure I'd have wanted to work for that company anyway.
Things like skiing that are high risk too, especially if you are pushing your boundaries and doing advanced things. Skiing however is more socially acceptable as more people go on skiing holidays every year and it would always be acceptable to be talked about at interview.
I once had an hour long interview with the owner of a company, which was 75% skydiving talk and 25% technical ability, because he wanted interesting, dynamic people to work for him, not just someone with good technical skills. I got the job offer.
Having interesting hobbies helps you stand out and stick in employers minds, on paper and at interview.
However, if I start BASE jumping I'm not sure I would bring that up as it can be illegal depending where you do it and how you go about doing it. Plus, I wouldn't want to whole world to know that I did it, as it would make you easier to identify and lead to other complications. I'd have to play that decision by ear at interview.
If you feel you have to hide then would you ever be able to talk at work about how you spent your weekend? If I couldn't talk about the jumps I did then I'd start to resent my work place as I'd have to suppress a huge side of my life.
In summary, mention it and be proud!