I'd rather die in the cold. Although I hate cold weather (ironic I live in London) but there is a damn good reason. Physically if you die through the cold your body shuts down slowly, you just fall asleep and never wake up not a bad way to go even if it does leave you a human popsicle. If you burn or boil to death its generally painful. Infact a lesser known thing is that the Feudalistic Japanese used to use Boiling a person to death as psychological torture, A prisoner would be dragged from his cell (usually a communal cell with the others captured too) and placed in a large cauldron of water (cold at this stage) and then interrogated if he failed to talk a fire would be lit and built up. Usually by the time the water got to about 40 celcius the pain set in (most hot baths are about 35 - 40 degrees) a slight stinging sensation like getting in a too hot bath. However the Japanese were masters they would boil the poor sod for over 8 hours (or all night) apparently the screams of the dying man were often unbearable and if he broke or his fellow prisoners broke then he was killed swiftly with a sword.