Actually, after a while, you stop feeling cold and start to feel warm. That's why being cold over long periods of time is so dangerous. You stop noticing after a while.
I'd much rather freeze. but preferably I would like to die of heart failure because it's painless, sudden and quick.
freeze cos other than the pain to your extremities as you get frostbite freezing is actually fairly painless. your organs fail and you just fall asleep and never wake up.
All those saying Freeze are basically saying "I want a slow, pain-fillled death". Yeah, burning will be instant pain and agony but you'll die no less than probably 30 minutes later.