I mean it sucks for the audience obviously, but if being on stage was what I loved most in the world (which is true of most stage actors), dying on stage would be what I would want.
I used to joke back when I did stand-up that literally (rather than what often happened figuratively) dying right on stage right after saying, "be sure to tip your wait staff!" would be the perfect moment to die.
From what I have been told by people who were revived after their heart stopped, there was no 2 minutes of "wtf is going on with me," it was a lot more like being under general anesthesia. You're gone and then you're back.