Why would a Christian choose to suffer?
I want to be careful because I don't think we should jump off the temple and put God to the test, as Jesus taught us very plainly. Don't test your God by doing foolish things. Don't run out in front of a truck, don't inject yourself with poison, and don't be a snake handler, etc.
In that sense choosing suffering would be a sin.
What we mean by choosing suffering is choosing a lifestyle of love that almost certainly will involve suffering. Or, if someone puts a gun to your head and says, "You die, or you say, 'Caesar is Lord,'" you choose death.
The reason we choose suffering is, first, because the alternative in that case would be disobedience. But there are cases where it is not so clear that the lifestyle we're choosing is the only one, and you choose it because you love people.
And you know that God will take the suffering that you know is coming and turn it for your good; because the Bible says so plainly that we're to rejoice in tribulation because of what it produces, because of the purity and hope it can work.
If you have a sovereign God that you trust—because he is good as well as all-powerful—you know that he will ordain whatever suffering he deems wise, and he will turn it for your good and the good of the church.
So, for obedience's sake, for your own purification's sake, and for the glory of Christ's sake, Christians ought to embrace risks of love that almost certainly will involve suffering.