Most people say that dying peacefully in your sleep would be the best way. Why do you think that people would pick a peaceful death over dying in the same way that Jesus died?
If our goal is to be conformed into the image of our Lord Jesus, then wouldn't it be honoring to Him if we died in a similar way to Him? After Stephen preaches the Gospel boldly in the face of false accusation, the jewish leaders stone him to death. Christ is seen standing up in Heaven, honoring His servant Stephen. This martyrdom brought on great persecution to the church, which also brought about an ever greater spread of the Gospel. God works miracles through persecution in ways that we cannot fully understand.
May we too be found faithful with the Gospel and honoring to Christ as we live and die for Him.