Have you ever died in a dream before? How did it felt like?

 This happened to me a couple of days ago. However, since I had no one to share this experience with, here I am.

It occurred exactly three days ago. It was around 2 A.M. I was struggling while trying to sleep. After trying multiple times, I figured out I should probably listen to some music just so I can ease my mind off. It had turned out perfectly, about 20 minutes later I fell asleep. Soon after I started dreaming.
So I woke up at this dimly lit room - similar to an interrogration one. I was sitting at a wooden chair next to a table that apparently was made of the same material as the chair, not a single soul around me at that moment. The only lamp in the room was the one right above the table, and on the center of it was a gun - a pistol of which I checked for ammo and it was fully loaded.
The next thing I really find myself incapable of finding an answer to. 
For some reason, I felt extremely melancholic at that dream. I cocked the pistol and pointed it right above my right ear. I pulled the trigger... I had just killed myself... in my own dream. My vision just went pitch black, and moments after I woke up at another place. 
Since this dream occurred to me days ago, I can't quite remember the landscape from the second time, therefore I won't be detailing this part. 
The only thing that I remember about the second time is that I did the same thing - I woke up right in front of another pistol. and I did the same thing... and the same thing happened. But that time I woke up at my bedroom, I didn't had enough courage to step out of it. 
I didn't even hesitate on leaving my bed. I heard a lovely song from a very distant place, sounding almost like a whisper and a frail static along with it, but that didn't stop me from recognizing it - I still firmly believe it was Dagger by Slowdive, one of the songs in which I had listened to before falling asleep. 
I glance slowly at my bedside table - there it was... the pistol. Again. I was so tired of everything that I didn't even release the magazine in order to check for ammo. I just cocked the pistol and shot myself again. I felt no pain at all. My vision went blurry and slowly faded out this time. I felt staring at the void for hours. 
Then, everything started to reappear around me. However, this time I was being sentenced to death by electrocution. The room was rather very similar to the interrogation one. I did not have the chance to look around for someone to help and prevent this from happening. I just suddenly felt the electrocution with no time to react or say anything. 
I screamed. I screamed like hell. I started to slightly wake up from my dream, but the I was also starting to feel the electricity through my head, so I tried to resist to it as much as I could and wake up. Turns out I woke up completely speechless and shocked... I died four times in my dreams.
What I find quite weird about this dream is that lately I haven't really felt suicidal, but rather depressive as always.