Perhaps a last-stand, go out in a blaze of glory sort of thing. Martyring myself for a great cause while slaughtering my enemies wholesale. Even if my cause fails, I want me name to be whispered fearfully by my enemies in case I somehow return.
Although if I was without any major enemies that needed stoping I guess blowing myself up would be interesting. And I don't mean stand on top of a bunch of explosives. I mean have some explosives put inside me, then have them detonate. I want the weather forecast to be sunny with a chance of ME! (Kinda like that lion from Ugly Americans. You know which one I'm talking about ;D)
Dying after having a great round of sex would be nice too (fuck (ha ha, is punny) dying mid-climax, I want to feel the whole thing).
Hopefully this will happen after many, many years of living a fulfilling life.