A lot hinges on the fact that, in most circumstances, people are not allowed to hit you with a mallet. They put up all kinds of visible and invisible signs that say, 'Do not do this' in the hope that it'll work, but if it doesn't, then they shrug, because there is, really, no real mallet at all.
There is always a choice." "You mean I could choose certain death?" "A choice nevertheless, or perhaps an alternative. You see I believe in freedom. Not many people do, although they will of course protest otherwise. And no practical definition of freedom would be complete without the freedom to take the consequences. Indeed, it is the freedom upon which all the others are based.
…We were born vampires." "I thought you became –" "— vampires by being bitten? Dear me, no. Oh, we can turn people into vampires, it’s an easy technique, but what would be the point? When you eat… now what is it you eat? Oh yes, chocolate… you don’t want to turn it into another Agnes Nitt, do you? Less chocolate to go around." He sighed. "Oh dear, superstition, superstition everywhere we turn.
The people of Ankh-Morpork had a straightforward, no-nonsense approach to entertainment, and while they were looking forward to seeing a dragon slain, they'd be happy to settle instead for seeing someone being baked alive in his own armour. You didn't get the chance every day to see someone baked alive in their own armour. It would be something for the children to remember.
Wizards don't believe in gods in the same way that most people don't find it necessary to believe in, say, tables. They know they're there, they know they're there for a purpose, they'd probably agree that they have a place in a well-organised universe, but they wouldn't see the point of believing, of going around saying "O great table, without whom we are as naught." Anyway, either the gods are there whether you believe in them or not, or exist only as a function of the belief, so either way you might as well ignore the whole business and, as it were, eat off your knees.
Belief sloshes around in the firmament like lumps of clay spiralling into a potter's wheel. That's how gods get created, for example. They clearly must be created by their own believers, because a brief resume of the lives of most gods suggests that their origins certainly couldn't be divine. They tend to do exactly the things people would do if only they could, especially when it comes to nymphs, golden showers, and the smiting of your enemies.