As improbable (impossible, probably) as it may seem, I'd want to go out by falling into a black hole. Most notably, one consuming a local star or nebulae. To see space, time, and matter warp and bend around me would be utterly incredible. Extraordinarily painful, mind you, but incredible none-the-less.
This little jaunt into eternity would require some incredibly advanced technology, both to get there AND to not get fried by the x-ray and gamma radiation coming off of the accretion disk. Not to mention being able to observer ANYTHING beyond the even horizon. Still though...