I use the Sims Info Mod to let me know exactly when they'll die, and I just give them the best day for their last day. I cook them their "favorite" meal, drink their favorite drink. If they are a family sim, they'll spend the day watching movies with their family, swimming with the fam, the whole day just them, their spouse and kids.
If they were more career oriented, I let them tie up any loose ends (finish those novels, paint a painting to pass on to the grandkids, etc). If they were party-goers, I have them hit the bar one last time, have a last meal of bar food, their favorite drink. Maybe hit on a hottie or two. Who doesn't love ol' grandpa telling them they're pretty (yuck LOL).
The last day never bothers me, it's that sometimes I have nothing to do with them leading up to their last day.