Since most people don't have much control over the situation in which they 'go', whether it is a proud moment or not depends on very much on what you're up to at the time. Sure, many of the situations that result in death are those same ones that we'd rather not be seen doing and therefore death is often not proud.
Given the choice, gee...burning up on re-entry; scuba-diving and not coming back to the surface when the air's finished; asphyxiation; flying a 747 into whatever they build at ground zero? There are so many options, how does one choose. I occasionally thought of the good music, good medicine, a hot bath and neat tubes running from my arms and legs, carrying my life cleanly through that mysterious little over-flow hole. If I believed in reincarnation I'd experiment with many different ways and write a book - one chapter per life.
I like Stuart's idea of having lots of other people's time and money spent on the occassion and if the right people read my 747 comment perhaps thats going to be the one. But, since I believe it only happens once so I'll opt for something more self-indulgent and a less re-assuring of my significance. I don't want to be one of a mass of martyrs either. Could fear of commitment and indecision be what are keeping me alive? Or is it that I believe that this is the only life I have, no reincarnation, no afterlife, so no matter what it is, its the only chance I have to experience this planet and all of the other little ants on it.