I'd want to die saving a person, such as..jumping in front of a bullet for someone, saving someones life but taking mine away. At least I'd die with honor, knowing I did something good.
I've actually thought about this question for a long time... how would I want to die you ask? Hmm... well, my dream death (heh) would be getting crushed by a giant meteor the size of a country. It would just be so fast that I wouldn't feel anything. I'd know, I tried it you know, my soul is eternal, after my original body died, I went on and entered a new born's body, and then I grew up, and here I am!