Death by snu-snu. After a few minutes you wouldn't even be able to feel it, and once it was over the agony of having a shattered pelvis would be overwhelming... but you still wouldn't pass out or die until you bled out internally, which means you're alive in unrecoverable, unremovable, unbearable agony for several hours. Of course that never happens... heh.
Then there's human sacrifice. That's pretty nasty. Especially the Aztec ceremonies, they drain your blood from your body and remove your heart with a glass knife while you're still alive. The last image before you die is the sight of your still-beating heart being eaten by an Aztec priest. Or the Zande ritual decapitation... after they rip out your intestines with a particularly brutal hook spear in combat, they tie a noose around your neck to a flexible tree sapling not strong enough to hang you, but enough to get some tension. Then they slice off your head with a special sickle-knife, so the last thing you see after watching your entrails coiled up like spaghetti is your own body as your head flies in the air. Then the children play a version of soccer with your still-alive head for the last few minutes it's alive... fkn brutal.
Oh yeah, and there's the good old-fashioned arrow to the eye. From the second the tip strikes your eye you're feeling the arrow wiggle and grind every nerve in your eyeball, eyesocket, and brain. There's nothing anyone can do about it, and you still won't die instantly. You just lie there, paralyzed and immobile, until your brain bleeds out or you suffocate from the inability to breathe. Fkng nasty.
Burning sucks, but at least it's over in less than a minute. Every single one of these deaths takes minutes, hours, and sometimes days for you to die... and you feel every agonizing second of it.
Oh, but it gets worse. Spaghettification: what happens when falling into a black hole. Your body is literally ripped apart atom by atom, and time slows down for you to the point of practically stopping... so your mind is still effectively active during the whole ordeal, which can take decades for you to actually die. The whole while unable to breathe thanks to the lovely vacuum of space.