Lelouch was the one who plotted Zero Requiem. He kind of commanded Suzaku to kill him. Using a Knightmare would have killed everyone (crossfire? You can't just tell your troops not to fire at a Knightmare! You can't exactly take those down with swords concealed in your sleeves! *cough* Margrave Jeremiah Gottwald *cough*) and a sword is more symbolic of knights.
And wait a second- DID YOU JUST SAY BEING KILLED BY A KNIGHTMARE DOESN'T HURT? Are you kidding me? Does it hurt to have a bullet fly through your head or heart, piercing your flesh and leaving you bleeding onto the ground, either taken by death or waiting for it? Does it hurt to have your bones crushed by metal fingers squeezing you, snapping like twigs beneath your feet? Does it hurt to have your skin melting, burning, leaving you a pile of ashes in the wake of a Hadron Cannon? Death by any method would have hurt, but Lelouch chose the one least dangerous to the surrounding others, a guaranteed method of dying that endangered no life but his. He chose to have that sword plunged through his heart, to bleed out in front of the whole world. He chose to have his best friend slay him, to pass on the legacy of Zero to him, and he chose for Nunnally to watch him die, for the world to cheer for the death of the hated Lelouch vi Britannia. Suzaku wouldn't have done it if he had a choice- he was crying when he killed Lelouch, he was the one who asked Lelouch if he really wanted to do it, but most commendably, Suzaku did kill Lelouch, despite Lelouch being his closest friend, despite the fact it was another sin for his already unforgivable list. Both had the courage to change the world, in exchange for life- Lelouch gave his up entirely, Suzaku will never be able to live as anyone else but Zero. Both are gone, but both will live on through their brave actions. Suzaku is not to be hated for killing Lelouch- I think this is the greatest show of loyalty and trust in a friendship I've ever seen. (and before anyone asks, yes, I could go on much longer than this. Does anyone really want to read it? Probably not. )
I love Nunnally because she's Nunnally and is sweet, considerate, and understands the limits of her abilities. Re-consider and fall prey to my persuasive skills!