With freezing and drowning you don't get to hear them scream as loud, and even with freezing which is still a slower process, you don't see much detail. With burning you get to see their skin peel away, every nerve in their body dying, you get the picture.
EDIT: also, a similar reason why I prefer knives over guns, with a gun they're usually further away, it's louder and too clean a wound, with a knife, they bleed out slower, and you can be as kind or as cruel as you want, kill them quickly through the throat, or slower by partially severing an artery.