Burn to Death
Freeze to Death
Even though burning to death is a more terrifying idea freezing to death would be slower and probably more painful.
I was tempted to go with burn to death. Nociceptors are one of the first things to go.
Your body would go numb at some point and you wouldn't feel any more pain
Death by freezing is actually one of the more peaceful ways to die. At first I would imagine the stinging sensation would hurt a lot but eventually you would go numb while still being conscious and could contemplate your end and make peace with God or what have you. Eventually you would simply fall asleep due to the lowering temperature in your body and eventually die in peace. Unless of course we are talking about EXTREME COLD downwards of -200 Fahrenheit below in cases such as that you would die in 2 minutes or less due to your blood crystallizing like a million needles stabbing you inside as your lungs freeze completely with one breath.