For me it's running. I love to run and everything that comes with it (the feeling of free movement in nature and pushing myself, the achievements, the goals and numbers and routine, the shoes), but it's such a minor reason to stay alive that it's embarrassing. I'm sad I won't be able to achieve the running goals I'm working really hard towards, but I can't manage 23 hours of the day being miserable for one hour of the day being happy.
I totally get living inside a fictional world too - I enjoy gaming and often get absorbed in books. Sometimes when I'm doing those I forget I even exist outside of the game/book and not being able to live in those places once I'm dead is a bit sad too.
There's a reasonable chance I'll (maybe impulsively) kill myself in the next few weeks so that sadness has amplified. Ultimately I cope by reminding myself that I once I no longer exist I won't be able to feel the regret or the sadness. Everything will just end.