Depends on what you want your death to accomplish.
If you want to gain attention from your death, you'll have to go big. I mean, it's pretty hard to have your death be remembered for any long period of time unless you are famous, and the easiest way to gain fame through your death is to take as many people as possible down with you. So this is where a bomb would come in handy, or you could infect yourself with some weird disease and wander into a crowded stadium. The more creative, the better (doomsday devices are beneficial).
If you want your death to been better for you, as opposed to being remembered by the others, then all you need is a cozy bed, comfortable pajamas and a self-satisfaction with your life. That's the way I would want to go - after i had accomplished everything I had set out to do, and felt pleased with my achievements, I would want to die as just another old man in my bed, who simply doesn't wake up one morning.
