We've seen some extreme athletes doing this, like David Belle. The tag for the activity is urban obstacle coursing. Belle's position is that the urban landscape is, in and of itself, an obstacle course. So he treats it as such, and with extreme athleticism. Use the links below to look at a couple of short clips of Belle in action. (There are more in the Related area.) Wimpy people need not apply for this kind of gig.
If you mean jump ON buildings...its called parkour
he commit suicide. (from jumping of the building)
Unmounted horse jumping is called "free jumping", where the horse is free of a rider. An unmounted jumping competition would most likely be called a "Free Jumping Show/Competition".
he died by jumping off a building
Art Building - Willamette University - was created in 1905.
Art Institute of Chicago Building was created in 1893.