Every story in the Bible has life applications or lessons we should learn from reading and studying the story. That's why it's in the Bible. God wants us to learn what to do or what not to do.
There are several lessons we can learn from the three Hebrew boys in the fiery furnace in the book of Daniel. They knew God was able to save them and rescue them from the hand of the king one way or another. They were confident God would do what was best for them; therefore, they never prayed to be kept out of the furnace or to be removed from the furnace. Instead, their faith was based on the fact that God was able to save them by His methods; not theirs. However, if God deemed it best for them to die, they were ready. But even if He did not save them, the boys still would not worship the image of gold.
The three Hebrews boys who were friends of Daniel had a "But-Even-If" attitude. They said, "If we are thrown into this fiery furnace, the God we serve is able to save us from it, and he will rescue us from your hand, O king. But even if he does not, we want you to know, O king, that we will not serve your gods or worship the image of gold you have set up." (Daniel 3:18)
Too often we pray that God will keep us out of the fiery furnace or get out of the fiery furnace once we are in it. That might not be God's plan at all. God's plan might be to get in the furnace with us to deliver us in a way that we won't even smell like smoke.
There might be other life applications or lessons, but the obvious one is to have a "But-Even-If" attitude and leave the method of deliverance to God. His method is better than you could imagine because after all . . . God is God!