Depends what kind of burn, if it was being burned with fire, I would definitely not pick that.. But, that'd be better than being put in a oven or some shit. And same thing with being buried alive as well, are you in a box? Lol, did they ditch your ass in a hole? But I think I'd rather drown instead of any of the other options.
Dude... these are literally like some of the WORST ways to die ahaha. Tbh... idek. I want to say burn, but jus thinking about it.. thatd be so fucking painful, one of my bestfriends shot a gas can in the yard and caught his arm on fire an that shit was so red and raw.. he still has scars covering his arm and this was when we were like 10 lol, both graduated now. But yeah man idek... haha, nice question though!
I would not know what to do in this situation to be honest.
Being burned alive is quite faster and it is much more efficient. Being buried alive would either suffocate you, and if it did not do that it would starve you which would kill you and it would be a slower death.