Having done no research whatsoever and with nothing but hearsay to base this opinion on, I'd choose freezing to death. Burning to death sounds like constant agony because you'll be on fire (that hurts) until something in your body gives in, you pass out and die. Freezing to death doesn't sound pleasant either, but the way it's depicted in films etc., you'll be a shivering mess until your body suddenly feels very warm and you fall asleep. Being a shivering mess is probably less painful than being on fire, and the final moments might be slightly more pleasant, too.