It seems that no matter what mythology we find them in, being a hero is the crappiest of all lives to live. Maybe if you're a demigod and particularly lucky, you'll end up not entirely dead, but for the most part being a hero means one thing: years and years of struggle, conflict, and death defying acts of courage to be repaid with some kind of betrayal and a really pathetic and ignoble death.
Three Case Studies:
Son of Poseidon and King of Athens, Theseus fights his way through monsters as a young man when his trip to Athens takes him by the six entrances to the Underworld. Once in Athens and recognized by his other father, he defeats the minotaur, freeing his people from paying tribute, in lives, to Crete. He takes the amazon queen for his wife (he kind of has a history of womanizing). He battles centaurs. He travels with Pirithous to the underworld and comes back again! When he gets back he goes into retirement. Why not, right? He's had a long and busy life, and after a trip to the underworld, he probably isn't interested in continuing to push his luck. He makes arrangements with a King friend of his to move back to the country island lands of his ancestors. When he gets there, he's either betrayed and pushed off a cliff, or, worse, he slips and falls on his own. To his death.
Lame Factor: 4 (out of five) if he was pushed. 5 if he fell. But 3 if someone can find me proof or hearsay that Poseidon rescued his immortal self and turned him into a god.
Son of Zeus and most popular Hero of the ancient world. Tortured by Hera, pretty much from birth. Took on and overcame his 12 labors, during which he killed or captured a bunch of monsters, pretty much just for the entertainment of a king who wanted to see him dead, and as a penance for being driven mad by Hera and killing his own children. (Seriously. Hera induces madness, Heracles kills his children without realizing what he's doing, then he gets punished because Hera screwed with him. As if losing his kids isn't punishment enough. Nice.) Sailed with the Argonauts for the Golden Fleece. He saved Prometheus, and liberated Theseus from the Underworld, and helped Tyndareus (Helen's non-godly father) reclaim Sparta, and... well, I could go on. Suffice it to say, Heracles was the hero of heroes and there wasn't a lot he didn't do. (Also, kind of a womanizer, uh, and manizer?) His third wife got a little upset about it and in revenge, poisoned his shirt. Yes. His Shirt. When he put it on, taking it off ripped the flesh from his bones, or somesuch. Heracles had a pyre built for himself and burned to death. Because he was special, only the mortal parts of him burned away and he became fully immortal and joined the gods on Olympus. (Where he of course took a new wife. Some things never change.)
Lame Factor: 3 because I can't get over the poisoned shirt. I mean, come on.
According to the Saga of the Volsungs, Sigurd is descended from a line of men fathered by Odin. The Volsungs were all pretty incredible, but Sigurd was the greatest of them. His father died before his birth, in battle and as a young man, Sigurd avenged his father's death by killing all the sons of King Hunding, and pretty much slaughtering their entire army. Back home, he also slaughtered Fafnir the dragon (admittedly with a little advice from Odin) and became easily the richest and most powerful king alive. Sigurd was loved by everyone and said to be the "foremost in strength and accomplishments, in zeal and valor." He fell in love with Brynhild, but was tricked into marrying a different woman, and helping his brother-in-law win Brynhild for himself. It wasn't until after Brynhild had been married to his brother-in-law that Sigurd realized what had happened. When his brother-in-law realized Sigurd and Brynhild were in love with one another (though neither one of them betrayed their marriage vows) he betrayed Sigurd and had him attacked and killed in his sleep.
Lame Factor: 5. Betrayed AND attacked while defenselessly sleeping? At least Heracles was awake and chose the pyre. And at least Theseus was on his feet. Sigurd got a raw deal.
You'll notice that in our re-imagination of these heroes in the pages of comic books, while we may torture our mythical heroes a bit, they usually don't end up with super lame deaths. They go down fighting, or defending the world somehow, usually. When we let them die at all. And most of the time, we resurrect them again. (Though, one could argue that might be an even worse fate-- every time they get some peace in death, they end up brought back to face more hardship and continue the fight. Buffy is a good example of this, and she does not handle it well.)
I feel pretty sorry for them.