A japanese method of torture/killing, called Death by 1000 cuts, where your body would be covered in chainmail which would be tightened until your skin poked through it, and then this skin would be cut off, then the mail tightened more.
Something like that.
I learn from wikipedia that in fact when you drown, often your lungs are sealed, preventing much water from going in, but because you are submerged, this seal is never broken, and you asphyxiate like so.
Cold, I think would be OK.
Burning is definately not cool.
Beaten, well, if you were knocked clean out first (or killed outright), I should imagine you wouldn't feel so much. If you weren't, yes, that would suck.
That shit's obsolete.
Freezing is probably OK, because it would get to you slowly, and you would drift asleep.
Mind, you would have to put up with the pain of frostbite first.