There's an abandoned subway line here in Cincinnati; apparently the city tried to build it 100 years ago then gave up. They use the station to shoot movie scenes (I think the initial fight scene with neo and agent smith was shot here).
Because with that stuff you have a purpose or some fun is happening. Being way up on a bridge just means you have to play your odds and not die. I'd be the odds are way worse from being in a car on a bridge dying than on a roller coaster or an airplane.