The government does restrict the first two of your examples. Smoking is restricted in certain areas and for certain ages, along with a Surgeon Generals label that basically calls you stupid for touching the things. Alcohol is in the same way restricted by age, the timing of purchase, and the consumption while doing other things(driving specifically). Your third example however I find simply wonderful. Skydiving is moderately dangerous, however the danger decreases with appropriate training and of course the use of a parachute. Driving is again moderately dangerous, however with training and a seatbelt it becomes at least less dangerous. I doubt that law explicitly states that all skydivers must use a parachute because its obvious, however too many people didn't understand that using a seatbelt should be just as obvious.

Secondly, the government spends far more cleaning up after alcohol and tobacco than it ever makes on taxing them. Of course this also heavily leans on the "they" argument. Who exactly is making all this money? The "government" is a wonderfully faceless organization on which to blame this deliciously evil conspiracy, but it falls apart at the requirement of names of people that would even somewhat prosper from the budgetary theory being espoused here.