Freezing to death is a weird one (which you should ideally do outside, unless it's a freezer I think an indoor freezing would be much harder and prolonged). It seems the jury is completely split on it - I hear it's either peaceful and euphoric or it's one of the worst ways to go imaginable. I would read into studies and stories of people who've gone through advanced hypothermia to see what you can glean.
Granted, the only official, systematic studies of people dying from hypothermia in real time are uh...uh... a bit yikes in origin but here you go:
The Dachau Hypothermia Experiments
Freezing is worse than burning alive. It takes much longer too. Doesn't seem peaceful to me.
From what I understand, once you've reached the last stage of hypothermia you go through something called "paradoxical undressing" in which you take off all your clothes because once you've become as cold as you can get you feel like you're burning. I don't know if it compares to actual burning alive. All we have are stories from people who have gone through hypothermia and been saved at the end, or autopsies of people who died from it, who can't tell us how it felt.
However, I've read stories of people who have been close to dying of hypothermia and they did describe it as peaceful, zen, and nearly euphoric.
@2muchpain Do you live in an area that gets very cold in the winter? Maybe you could test the waters yourself by seeing how long you can withstand the cold without taking sleeping pills. Just see what it feels like to you first. Though I think if you do decide to take sleeping pills I think this method would work SO LONG AS you aren't found. Do you have access to a remote area where you could almost guarantee no one will pass by?