It depends on the circumstances of the death. If I was alone (no family around me) and a meteor was about to hit the earth then I'd go for Assassing by Marillion, if I was ill, on my death-bed, surrounded by loved ones it would probably be something like I was brought to my senses by Sting or Your latest trick by Dire Straights, something mellow but still with some guts and a bit of soul (not soul music though, I can't stand most of it).