The electric chair and lethal injection have both resulted in torturous, prolonged deaths for some victims. If beheading is done correctly, you essentially die right away.
I would argue that the masses of people that flock to see the beheading also result in some stress towards the victim. But the fact that it is not a clean room beheading but a public one culturally dependent too ...
If we argue which type of death is more or less pleasant we've directly descended into not just the Middle East, but the Middle Ages.