While I am a firm believer in the inexpensive, convenient, and difficult to legally challenge firing squad, the electric chair stands out as the least painful means of execution.
The reason is that electricity is faster than nerve impulses, travels to the brain and fries the circuitry before pain can be felt.
I believe you're right. I've touched electric fences several times in the past, and there's always a lag in time before the sensation registers. However, the thought of being electrocuted to death isn't a pleasant one.