probably the artic, extreme heat in the Sahara ugh atleast when you die from freezing to death you get very sleepy. Heat related deaths i only imagine would be like your being baked to death...i'd rather get sleepy and just die off than be zizzled to death like a stip of bacon.
UPDATE: Maybe the best option would be the Arctic. As you are dying, there is the chance that Santa will turn up with a sack full of goodies. Maybe you would have chance to appreciate them before you pass out for good.