If I had to die I want the injection because if it works right you just doze off and die. That compared to being tied to a pole and have people fire guns at you seems terrible. There is a significant chance of serious pain and suffering.
I was just reading a Reddit post from a veterinarian and the protocol for euthanising animals is far better than that used for lethal injections - notably pre-meds are used to sedate the patient and prevent breathing issues and panic.
A bullet or two to the head is far more effective and reliable. The only downside to lethal shooting is that it looks too barbaric to observers.