If it was an instant freeze I pick it, but if its like...standing in cold wind while the temperature slowly lowers. You would probably die of hypothermia before you would freeze. Burning..I see this as painful either way. Your clothes would probably catch on fire and increase the temperature of the fire along with the pain for you(An added bonus). So, freeze me x.x
Freezing to death would seem like a better choice to me because you would die less painfully than burning in my opinion. Please click this link or bunny king will be mad.
I would much rather burn... It may be more painful at first, but I would die faster and not have to feel all of the water expanding inside of me... Ag.. I can imagine it...
Freezing to death would be better, as you would eventually fall unconcious, and it would hurt a heck of a lot less than burning to death.
Freezing to death would still hurt like hell though, and in more ways, plus falling unconscious only happens once your lungs burst because of frozen water and you can't breathe.
Or at least that's what I think I remember from 1000 Ways to Die... Not pleasant, but neither is burning.
I'm sticking with burning, it's an honourable death and leaves less of a mess to clean up.