He died due to a dumbass decision. Disappointing. Definitely a "God damn it" moment. But it didn't make me curse the writers for not making any sense. An ego that size was bound to kill him eventually. Overall, it was a great scene.
Benjen pulled up, got off his horse, put Jon Snow on his horse, and sent him away, sacrificing himself to save Jon when he could have easily rode off with him instead.
"Come with me!"
"There's no time."
And he stands there like a moron waiting for the wights to come kill him as Jon rides off. Looked like he had plenty of time to get on the horse with Jon and trot away from danger. But there was no time.
Dumb.
That entire mission was retarded as hell.