Live in shame = You've to live in shame. Your family, friends, other you knows and strangers may look down upon you and think you're a shame. In addition you've to live a lifestyle or in a culture you sees as both shameful and humiliating. Something which isn't humiliating for someone else can be it for you, so it's your definition that count here.
Die in honor = You've to die or being killed. There's many who looks up to you and you can feel good/proud about yourself, what you did etc. It's what you did that makes it honorably, not necessary the death itself. Die in honor don't necessary mean a decent death where it's painless. It can be an execution or a murder. Example: Fighting for democracy in a totalitarian regime, but getting executed for that.

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