I did a tandem jump once. It was a lot of fun, but dang too expensive to do more than once. I definitely don't trust myself to pack my own chute and go on my own.

The best part is definitely when you leave the plane. The anticipation on the way up nearly drove me crazy. The hour afterward was great too, because for a while I was just happy to still be allive...

I would think that the best thrill is base jumping, like from Angel Falls or something. Being able to see the cliff zooming past you would give you a real sense that you are indeed falling, not just floating...
I think the thrill difference it mostly mental. Riding a bike at 60 mph puts your life in you own hands too. If you have a blowout, or a deer jumps out, equipment failure, etc, you're pretty much dead (or will be wishing you were). We just don't think about it the same way since we ride our bikes everyday. Heck, just riding around town puts our life at risk everytime, but we do it often enough to not even think about it. It's probably the same reason that base jumpers moved from planes to buildings and cliffs - if you do it often enough the thrill subsides everytime.
I have heard that the plane flight before the jump is actually more dangerous than the jump. True?