The biggest risk I ever took in my working life was to leave a very stable job, in which I was miserable, for a life with zero prospects. I was married, with two small children at the time. It took me two years to take action and leave, and after a few months of scraping by I came into an opportunity which forever changed my life, and my family's lives, for the better.
Relationships are an interesting example. Even in a perfect relationship you'll get your heart broken. It's morbid, but you're both going to die and probably not at the same time. But think of the potential for joy in the relationship compared to the grief. Another illustration is to imagine getting a pet: odds are that you'll outlive the pet, and it will break your heart. But would you trade all of the joy, comfort and love to avoid the pain of loss?
This hints at "hedonic calculus", a phrase with which I'm very uncomfortable. Any choice or avoidance is, in the end, based on the faculty of the Feelings and not on any sort of mathematics. So the work is to really search your feelings (and your preconceptions), both positive (pleasure) and negative (pain). Then remind yourself that there's no neutral state, and continue to experience your feelings.