I remember seeing Arthur Lee of Love, before he died. Forever Changes is a bit of an apocalyptic, end-of-an-era kind of an album, and I remember reading him talking about how he was convinced he was about to die (he was in his early twenties at the time, IIRC). Of course, he didn't, until much later. But his subsequent incarceration for firearms offences made all of the repeated lyrics about imprisonment (spiritual, mainly) and guns seem a little eerie when he sang them...
As for a genuinely spooky case of someone predicting their own death, how about Mark Twain? He was born when Halley's comet was in the sky, and predicted he'd die the next time it was. He did.