Definition of Martyr
Is the original meaning of the word "Martyr" different from how it is perceived today?
source: Online Etymology Dictionary (www.etymonline.com)
Apparently, the most reasonable explanation of "modern" usage of the word martyr is someone who is killed for their faith, the most common usage being the faith of the Christian church. In that case, Stephen would have been the first Christian martyr.
The source of the word martyr appears to connect to the Greek words for cares or troubles (mermera) and the word that means to be anxious or thoughtful (mermairein).
A martyr would be, in those terms, a reminder of past troubles, someone to point to and say "See, we suffer for out beliefs, but we must be strong."
Martyr is used a lot to say that what they believed in they believed so much that they were willing to die for it. Depending on your own beliefs there is also a reward given after death because you were willing to show that you will give up your life for your beliefs.