Blind Willie McTell by Bob Dylan. The perfect song to die to.

Right now I'd have to say Metallica - The Unforgiven III

But if you asked me this last week it'd be Elton John - Funeral for a Friend/Love Lies Bleeding

Too bad that's not the name of the song, dude.

Thats another valid answer... good taste, congratulations... then again maybe ot would be better to listen to Blind Willie McTell... rumor has it no one can sing the blues quite like him :)

@Rubang: I know the songs name... ya smartmout...

I'm going to say that the most fitting thing to hear as I'm dying is the music from the Game Over screen of Shin Megami Tensei: Nocturne.

In terms of actual songs, I'd pick Wheels of Confusion by Sabbath.

You're Pitiful by Weird Al.

...wait...

Other songs that I could die to would be;

The End - The Doors
Always Look on the Bright Side of Life - Monty Python
Stairway to Heaven - Led Zep
Knockin' on Heavens Door - Bob Dyland (Fuck the G'nR version)
Videotape - Radiohead
My My Hey Hey (Out of the Blue) - Neil Young

I would listen to the album The Cool by Lupe Fiasco, but specifically I would listen to Put You On Game.

Also good would be "Oh Death" or "I´ll fly away" both from the Oh Brother soundtrack... also "Few Days" from that folk record Three days of Singing that no one knows of...