It depends. Do I get to pick how I'm burned? If I'm lit on fire or am I trapped in a burning house? Lit on fire where I physically burn, then I would rather freeze. However if I'm trapped in a enclosed space such as a room, I will suffocate or die of hypoxia first which is realatively quick and painless long before the fire consumes me. If that's the case, I'll choose fire. Hypothermia isn't totally painless, can take hours and in about 35% of the cases a condition called paradoxical undressing occurs , where the body is found nude, having deliriously removed their clothes. I'm kind of self conscious about people seeing me like that.
All roads lead to the same place.