Actually, being be-headed by an axe is probablly the worst way to go. Most of the time, the dude would miss, and the blade would lodge itself somewhere into your head. In fact, alot of excutioneers had to swing 7 to 8 times, just to kill the poor dude.
And the Gullotine is better, but not by much.
I think it was King Louie the 16 (Not sure...?) who got beheaded, and it got stuck in his neck...(He was still concious at the time) and some people had to actually push the blade threw all of his neck. All the people watching were like, bathed in his blood (Which technically wasnt a bad thing because his blood was holy stuff, and would bless, him being the king and all).