We have, and not really depressing.
For me, I'd rather know what the people I love want and talk it through so they know what I want too rather than just avoid it.
It's inevitable, we're all going to die, so why not sort things out so it's less stressful on the ones you love if it happens?
That's my spin on it at least. There'd be so much else to deal with, I'd want them to not be wondering how I'd want things done, and I'd rather not wonder if I'm going against their wishes.
More comforting than not to know if anything unthinkable happens to me, they'll know when to try and save me or when I'd rather they just let me go. The ones closest to me have nearly all felt the same.
The ones who don't, we just don't talk about it.