I don't think the two are comparable. Most of the soldiers who fought in the First World War died not for their country, but because they were conscripted into the armed forces by silly politicians playing a rather dangerous game of chess within a web of alliances.
Early Christians didn't
need to be 'martyred' for their cause -- they could just have kept their beliefs secret and continued to live. In that situation, to voluntarily stick your neck out by practising openly is hardly being martyred. A better comparison would be prisoners who go on hunger strike until a certain demand is met (e.g. granted political prisoner status) and die as a result. Anyway, my main objection was that you implied that using Jesus's death as inspiration to become a martyr was somehow admirable.
Also, Galileo died of natural causes...
Very little of the criticism is actually aimed towards the people who practise religion (except when they do patronising things like going to people's houses and offer to 'save' them). Virtually nobody has any issue with people just going to church or other place of worship and singing hymns or praying in congregation.
The ideas of religion, however, are as open to criticism as any other ideas. That's just something people have to learn to live with as a natural consequence of a free society.
There's also a subtle exception here: what you describe as 'just trying to live your life the way you want' isn't always restricted to your own life. A prime example of this is the belief among some religious parents that they somehow 'own' their children and are therefore entitled to not act in the best interests of the child, whether that be through not vaccinating them against potentially fatal diseases, teaching them junk science, or 'raising' them in their own religion (known as 'brainwashing' for those who don't like to euphemise). That sort of thing is always going to be criticised, unfortunately.
At the end of the day, I just don't buy into the idea that religious scripture has any monopoly on telling me what's right and wrong. I wouldn't say my goal is to make the world a better place (so we differ there) but that's an argument for another day.