I probably wouldn't put on a super deep, depressing song, but instead a song that brings me happiness and comfort so I'm not as scared in my last moments. Likely a song by Lovejoy, Wilbur Soot, or TVgirl.
strong contenders are Warsaw, It's Golden Hour Somewhere, Call Me What You Like, Saline Solution, Internet Ruined Me, Loving Machine, or possibly Steady by Strongboy