Problem: David here implies that it is not fearful to fall into the hands of the living God. In fact, he chooses it over all other options. At the same time, the writer of Hebrews declares that “It is a fearful thing to fall into the hands of the living God” (Heb. 10:31).
Solution: The two passages are speaking of two different conditions. In David’s case, it was a matter of choosing his own punishment for his self-acknowledged sin. The Hebrews passage speaks of those who, far from being repentant, had sinned “willfully” after having “received the knowledge of the truth” (v. 26). In brief, whether it is fearful or not will depend on the condition of the person who falls into God’s hands.
