Being skinned alive will be very painful, if a person does not die by that, we can always use salt on his skinless body to give him more pain xd there is also a method known as 'Impalement' this is a very brutal and painful method to kill a person.
in old days people created some very amazing device to tourcher and kill, like 'Breaking wheel' aka 'The Rack', Brazen bull,Iron maiden etc, all of these devices are capable of inflicting extreme pain, compare to them suffocation and burning alive looks like a very easy and painless death.