Wow, there are a lot of people who pick firing squad. That's a pretty macho way to go, but I sure hope that everyone who picks firing squad has at least taken a punch to the face by an adult who is seriously trying to hurt them, or had a knife to their throat by a person threatening to kill them, because if you can't take that cheerfully you will probably not die as bravely as you think you will. And bullets are NOT painless--maybe a shot to the back of the head that knocked out your brainstem would be, but if you're just standing up in front of a bunch of guys you're probably not going to die instantly like they do in the movies.
For myself, I would prefer to be gassed in my sleep. A week before I was scheduled to be executed by some other means they would wait until I fell asleep and then flood my cell with either pure nitrogen or carbon monoxide. I think that would be a pretty painless and humane way to go.
If, however, I were going to go down in a blaze of glory, I would make sure I died doing whatever would get me sentenced to death. Or, during the wait until execution, I would fight and resist and try to escape until they were forced to shoot me down (if I actually managed to escape, so much the better!).
As far as truly exotic deaths go, I would have to say my pick would be the Aztec execution--take a hallucinogen and get all psyched up and then climb to the top of a huge pyramid, lay down on a stone slab, and have my heart ripped out of my chest and thrown into a fire. I would die providing my blood as nourishment to the gods!