"We went to visit Khabbab who had himself cauterized in seven places on his body. He said: 'I have been ill for so long, and if it was not that I heard the Messenger of Allah (s.a.w) saying: "None of you should wish for death" then I would have wished for it, and he said: "A man is rewarded for his spending except for the dust" - or he said - "in the building."
Jami` at-Tirmidhi Book 37, Hadith 69