This is absolutely something I have considered before. I would choose death by firing squad.
To be honest lethal injection seems a lot more terrifying: the sense of helplessness, the gradual slipping away of your life.
Hanging is just undignified, and if your neck doesn't snap asphyxiation just plain sucks. Decapitation is at least as, if not more, undignified what with prostrating yourself and having your head roll away.
Electric chair? No, I wouldn't want that.
But a firing squad? You get to die on your feet, facing those who will execute you. You can at least die like a man.