A Good Man Goes to War - S6-E8
Revealing mistake: Several of the hallways in Demon's Run, particularly the one where Madame Kovarian has the baby brought to her and the one the Doctor's standing in when he realises where Amy and Rory's baby was conceived, are the repainted sets of the TARDIS hallways from "The Doctor's Wife", three episodes before.
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator