I'd prefer the cold over the heat.
When it gets to temperatures that you melt at, your brain starts boiling and all your cells die of heat. This tends to make you fry, but it keeps you alive until you are finally brain dead, feeling every agonizing moment until you no longer exist, physically, or mentally. Fun, no?
If you freeze to death, at least you fall asleep, making you feel nothing, except peace and quiet (very rare commodities in this day and age). Plus, you leave a corpse, which is ALWAYS good.