Dean thinks that any place you go is "a better place" than earth or hell..he wants to die and thinks his life is hell..he was jealous of Anna when she said angels don't feel..he thinks dead people are the lucky ones..
Dean knows life on earth, his life already sucked before hell with loosing all his family, his little brother with his demonic powers, all the monsters and no chance for a normal life, wife and kids..because that's what he wanted deep within him..then he spend some time in hell, more time then he did on earth and, though he seems not as mentally broken as you would think, it will haunt him almost 24/7 forever..little silly lines by random people like "you ever thought about where you want to spend eternity?" and Dean's reaction to that..so yes, he was a bit jealous because angels can't feel, because if he couldn't feel guilt, fear, hurt, shame and anger anymore, all the memory of hell would be a lot easier to handle..
Both brothers think their lives suck and that they can only be hunters now and never be happy and yeah, they just intend to fight and die..

Dean's pragmatic. He knows that he's going to die on the job and if he has to die, of course he wants to go someplace other than hell. I don't think it's so much a deathwish as just flat out pragmatism. And yes, he'd feel a sense of relief when it's all over- if he doesn't go back to hell of course. Dean can never stop hunting, now more than ever. He will always be seeking redemption. And so yes, he does want to die on the job. And he does think about where he'll go afterward because he doesn't want to go back to hell, but no one's told him he's headed for heaven and in his heart he doesn't feel he deserves heaven. He'd prefer just release- an end.
I don't think Sam's really thought about where he's going to go when he dies and sometimes it seems like he's still holding out hope that he can stop hunting one day.

it's true, fanfly..he wants to die! there's a chance that he won't survive the last big battle and i think he will be more then okay with that, because then, finally, he is "going to a better place"..

Dean does seem resigned to thinking that none of this will end well. His destiny seems inescapable, he's tired of the fight, and he seems to just want it over with. I wish he had more hope, then maybe we would too, ;)! Personally I think Dean will survive, but I'm not so sure about Sam. :(