Firing squad because it's more fun.
And assuming that there will be more then one gun shooting at you, hence "squad", it'd be almost painless because the moment you get hit it's almost certain that at least one of the bullets cause a mortal wound that will finish you off instantly or close to that.
Lethal injection can be very painful, by the way. It only looks civil, but it's been recorded that many of such executions (despite already being something fairly barbaric to do) do not have the executionees properly drugged... So while they're practically paralyzed on the outside, they slowly and excruciatingly die from asphyxiation on the inside.
Bullet's faster.