+Many of the saints wished to be martyrs. St. Teresa of Avila ran off as a child to become martyred by the Moors. Her father, instead, ended up giving her the third degree. St. Augustine, St. Dominic, St. Thomas Aquinas, and countless other saints ... perhaps all at one time wished to become martyrs. God, however, chose for them a different path.
It's a simple thought, really, but consider how for the pious, those who truly endeavor to love our Lord as he should be loved, the most difficult thing about the cross in the beginning is that you don't get to pick it. Too often the pious mean well, and strive to pick a cross by their zeal, and out of zeal do not discern, or continue to discern whether or not it is God's Holy Will particularly for themselves.