Well, it was a good run, but it's come to an end. You almost saved the Alamo, but Santa Ana's men surprised you, and now here you are about to be shot. It's not like it hasn't happened before; you've gotten out of worse scrapes than this. Your mind races back over the many worlds you've seen, wondering if there's some trick you've forgotten which could get you out of this.
You could vanish in a puff of smoke; it's a simple teleport spell you picked up from Merlin which only carries you a couple hundred feet, but that could be far enough--but no, you need your left hand free to do that, and these ropes are pretty secure. Houdini showed you how to escape handcuffs, but your botched attempt to do his water trick had you out of there before you learned enough about ropes for this one. Bet even Harry was wondering how you escaped from the box, and where you went. Besides, magic doesn't work too well in this world, and wouldn't you look the fool waving your hand around and chanting in Gaelic, only to be shot by the firing squad anyway.
They offer you the blindfold and cigarette. You take the cigarette, stalling for time; the blindfold you can do without--you'll have enough trouble trying to figure out the next world with your hands tied and your eyes open, so there's no need to complicate it.
There are your mental powers. The monk who first taught you how to focus your mental energy said you had extraordinary potential, and you eventually taught Kreskin a couple of tricks. You could try putting up that psionic force shield again. It saved your life more than once. But you've still got a headache from that last botched attempt. Even thinking about mind powers hurts.
Amateurs. You might actually survive this firing squad, if you're lucky. But it will be painful. You break from your memories to realize that the commands are being given. The explosions merge together, and you feel the searing pain of lead cutting into your body at several points. Swooning from the pain, you black out. It's over; you have died to this world.
You open your eyes again, but it is dark--dim, at best. The light is artificial, possibly some kind of electric light--you remember seeing something similar once, electrical excitement of molecules in a liquid medium producing photonic energy, way ahead of fluorescent. You're inside, a building perhaps. There's the sound of machinery. It could be anything--factory, transport, power station, city, robot. It's time to look around, to discover a new world, begin a new adventure.