Yes Although I only worry if there is an afterlife or not...
I once had a dream where I died. I would not say it was a fantasy because I did not wish it upon me.
I was a soldier of Sparta and I had been wounded in battle. Enemies showered upon me but I sliced them down one by one. It was not until the hideous snake woman Echidna mounted me that I showed weakness. I tried to hit Echidna with my golden sword but she blocked all my attacks until I ran out of stamina and hope. I was broken.
Then Echidna took my golden sword and complimented my courage. At that moment I knew my life belonged to Echidna. And so it did. She gave me the kiss of doom and sucked my soul out. I realized I was dead, yet a part of me felt alive. I mustered all my power and stroke Echidna in the eye with my left hands finger. It turned out that it was Echidnas one and only weakness. I managed to defeat the evil snake woman Echidna but at the end of it I was completely exhausted and my strength was fading. I woke up on the moment of my death.
As for your other questions I would love to fulfill this fantasy and I hope that instead of dying from cancer or something equally boring I would like my death to be meaningful and heroic.
I once put myself on the line of fire in a macdonalds queue when someone decided to skip in front of the rest of the crowd. Other than that I havent let my more heroic self loose that much.