Scientists have now, employing advances in medical sciences and accounts from lucky survivors, ranked and phenomenologically characterized the various ways of dying. Without going through the whole list, burning to death sounds like it totally sucks. On the other hand, decapitation (unless it was done slowly, with something like a handsaw), or falling from a great height and having your heart explode on impact, seem fairly painless. And they didn't include the one I've always thought must be the absolute worst, which is being stung to death by killer bees.
Otherwise I don't really have a favorite.