I, too, am not sure that I'd prefer life in prison over death, but in practice it takes decades to execute a convicted prisoner in the US, and since you're considered a particularly dangerous prisoner (since you have nothing to lose) you're held in particularly isolated and unpleasant conditions during those decades. If I thought I was going to get the death penalty I might prefer to just blow my brains out quickly and easily before they have a chance to slap the handcuffs on.
I can't be arsed to fact-check it, but I'm pretty sure I've read that death row inmates are more likely to die of natural causes while awaiting execution than they are to actually be executed - that's how long the legal process waits.
Norway doesn't even have a statutory penalty of "life without parole" except for military offences. The maximum prison sentence it's possible to receive in 30 years - although it's still possibly in practice to be imprisoned for longer, because your release after 30 years is conditional and the sentence may be extended. Even Anders Breivik, the terrorist who killed 77 people in 2011, didn't get a "life sentence" as that term would be understand in the US.
It's an odd contradiction to me that people who support the death penalty are mostly not ok with the state using, for example, punitive rape as a punishment, but killing is somehow okay, if the crime is severe enough.
The fact that it is regarded by some as an acceptable punitive measure carried out by the state, whereas other, lesser crimes against human beings are deemed "off limits" for such purposes, seems to me to expose an inherent contradiction. To avoid the contradiction, either both should be acceptable, or neither.
Presently there seems to be a slight majority consensus on Earth that the correct answer is "neither", with the overall trend suggesting that the rest of the planet will get there in another couple hundred years.