Personally, I think burning to death or drowning would be just dreadful, the pain of the burning, or the filling of your lungs and slowly losing all your breath...
Dying from lack of sleep. Yep, that can happen. Sounds awful. It's even more awful if you do not receive any food before you die. (You die of lack of sleep before lack of hunger.)
*Cough* Ladies and gentlemen, here is your master of dismemberment! I'd like to bring up the Spanish Donkey. It is basically a large wedge with the point facing up. You sit on the point, and weights are tied to your feet. Sometimes so much weight was added that the victim was torn clean through.