Im not really sure, If I had to die right now, there are many songs I would probably want to listen to because I like them of even to remember the happy and even sad momeries and momentsnI had throughout my life.
link which is song of storm and brand from tsubasa. and lastly, heavens not enough from wolf's rain. I actually listen to lots of other music, but anime muziek is the most epic so...
Personally I think when I'm dying what end muziek I want will be the last thing I'm worried about. However I suppose if I did choose, Gotta Serve Somebody door Bob Dylan of Running Up That heuvel door Placebo would be nice songs to die to.