Characters that don't shoot themselves in the foot to "keep their humanity"

I'm currently reading Sir Thursday, the fourth book in Garth Nix's Keys to the Kingdom series, and one plot point that's been repeated time and again is that our protagonist Arthur seems to be hell-bent on staying human, even though he has asthma, his life sucks in general, and what he could turn into seems just so much better in all aspects. He also would have saved himself loads of trouble.
I find this incredibly annoying.

Now, this may change later on in the series (no spoilers, please), but that's not the point. The point is that I find it utterly unbelievable that someone would refuse this in the first place, especially when doing so is actively dangerous to the character and others.

So I'm interested in books where, when offered serious power in exchange for some aspect of themselves, the character says "Yes, please! And can I have some more, perhaps?"

C.S.Friedman's Black Sun Rising is all about the corrupting influence of sorcery, and its major characters exemplify various ways of dealing with that. I don't want to say too much about it (spoilers), but there is a "Yes, please!" event already in the prologue.

Raistlin in Dragons of Autumn Twilight is all about obtaining power at any cost.

I'd say that first big "Yes, please!" moment in the Coldire prologue isn't that fitting an example, because it's not only a personal, voluntary, sacrifice/trade, but also involves others, very much against their will.

#4: Not to begin a Coldfire critique, but I'm rather surprised by that. A sacrifice of (spoiler here, but just of the prologue so not a bad one) his most beloved family members, you don't think of that as a personal sacrifice? Not an easy thing to do for anyone but a desperate man with a desperate desire for something. Because it "involves others, very much against their will" would not make the act any easier or less of a personal sacrifice; in fact it's hard for me to imagine any personal sacrifice that would be greater....

BUT, if you're just saying that's not what you meant you were looking for then okay, I follow what you're saying.

No, of course it's an incredibly personal sacrifice as well, I didn't mean to say it wasn't.

But the fact that it's not just a personal one, that it involves others, that pushes it in a different category than what I'm looking for.

Say, had he "sacrificed" his family by cutting himself off from them, leaving their lives forever, perhaps leading them to believe he was dead, or having them actually cast him out, that would have been a different matter. It would have been a personal choice, but not necessarily an immoral/evil choice (let's ignore letting his family struggle for itself afterwards for the moment, it's a hypothetical).

But killing them, while obviously an immensely personal sacrifice for him, changes this from a "why don't you?" to a "how could you?" situation.

I see what you mean. But perhaps this example exemplifies what Arthur is afraid of? I haven't read the Keys to the Kingdom series, so I don't know what his obsession with "staying human" consists of; but it seems to me that losing your humanity does involve losing the connection to the human race; losing empathy for humans and perhaps losing interest in their concerns (such as the desire not to be horribly sacrificed). The Coldfire scene applied this logic in reverse.

But I don't know if that's the kind of humanity he means. For all I know he just doesn't want to become an elf. ;)

The same theme comes up in superhero stories, but the protagonists there are rarely given a choice about it. The same goes for vampire stories, come to think of it.

I'm having trouble thinking of fantasy stories where characters are transformed by power, rather than just acquiring it. The ones that do have this element usually make an issue of the transformation, which means a bit of agonizing about it. Hardly a "Yes, please!" scenario :) The ones that do come to mind aren't really fantasy. For example there is Ben Bova's Orion, where the hero discovers superhuman powers but doesn't seem to worry about it. And there is the Many-Colored Land series, where most characters are positively eager to develop their powers.

#7
And there is the Many-Colored Land series, where most characters are positively eager to develop their powers.

I thought one of the striking things about the Many-colored Land series was the (very long-term) redemption of at least one of the characters who had earlier lost all empathy for humans.

You might like Master of the Five Magics. It's a world with five kinds of magic (truly different, not just variations on a theme), and the hero shows no reluctance to use whatever will help him achieve his goals.

#9 -- Ah, been meaning to ask about that one.
There are three books in that sequence, but I noticed that they don't share protagonists, something that can quickly sour me on a series. Are they in any way related or interdependent, or are they just set in the same setting?

Same setting, different stories. The events of each book are historical in the following books, but not in a way that makes much difference.

The advantage is that they are complete stories, so you can read one and then stop, if you want :)

I was disappointed by the second and I thought the third was much better again.

Might look at Dave Duncan's Blades series, that might fit what you're asking for.

Very few authors seem to write stories where this scenario can turn out to be a good thing. There is usually a moral constraint and the consequences are usually terrible.

The Lensman series is very old school, but fun, space opera. The stakes and power just keep accumulating. Galactic Patrol, Gray Lensman, Second Stage Lensman and Children of the Lens. (Triplanetary and First Lensman were shoe-horned into the story at a later date, so I'd read them later rather than sooner.)

Perhaps Louise Cooper's Time Master series qualifies, but I don't remember if the protagonist is that eager for the "upgrade." The Initiate, The Outcast and The Master.

The Belgariad and probably anything by Eddings.

Urban fantasy is full of people "accepting deals with the devil" for increased power to protect themselves and others. They also usually tend to have various periods of angst over their choices and come into conflict with those who follow the "rules."
Some of which might qualify are Simon R. Green's The Man with the Golden Torc, Kim Harrison's Dead Witch Walking, and Butcher's Dresden series.

I haven't finished it, but Sanderson's Mistborn series sounds close to that. Also his Warbreaker novel has similar themes and may be closer.

I'm not sure all of these have the "exchange for some aspect of themselves" that you are looking for—The Belgariad, for instance—but all the characters do power up.

Try C.S.Friedman's series: Magister Trilogy, first book Feast of Souls

They know the price & they pay, and pay, and pay, to keep the power

NB: I haven't read the last book in the series yet

The Dead Witch Walking series was one of the first I thought of as well.

The Raine Benares series has some of that, but it is not a "yes, please" scenario, even though she does use some of the power she gained.