Consider if you will the following options from the French thriller Martyrs from writer/director Pascal Laugier. Which one offers a fate worse than death? And remember: you're entering a land where spoilers dwell. You have been warned.
1. Shotgun blast to the chest at close range.
2. Shotgun blast to the head at close range.
3. Chased and attacked by a demonic creature that is eventually revealed to be a manifestation of your guilty conscience.
4. Slit your own throat.
5. Number 3 then number 4.
6. Be mercilessly beaten and tortured for an indeterminate amount of time before being taken to a brightly lit operating room where all of your skin is slowly stripped off of your body and you survive the entire thing.
All good choices, but I think I'm going to go with number six.