I'm pretty sure being caught in an explosion that disperses your particles faster than the speed of sound would be less painful than decapitation. A severed head can still blink for a few seconds, so there's likely to be at least a momentary flare of tenderness in the neck area.

First, I am asking how you know this, second, a large bullet that expands greatly upon impact to the brain is the least painful way to go. Don't ask how I know this.