The Science of Sport takes a look at a phenomenon which has attracted its fair share of media attentioned recently - sudden death during exercise. Although it's a terrible thing, the article makes a very important point :
regular exercise protects the heart. It lowers cholesterol, improves cardiac function, and increases life expectancy and quality of life.
and
[the] overall chances of this (sudden death during exercise) happening are still lower than for the inactive population.
A good read.