If we're talking being burned at the stake like the first episode of GoT this season then it depends. If the fire is big enough you'll die from the smoke inhalation (or at least pass out) before the fire gets you, in which case drowning would be worse. Otherwise I'd say it's a tie. Burning would hurt like hell and drowning would involve being denied the overwhelming urge to breathe, and would probably hurt like hell too. Neither sounds appealing to me.