we had to euthanize one of our cats last year. she was quite anxious and uncomfortable during the trip to the vet. when the actual moment arrived, she curled up on my wife's lap and started purring quite loudly -- even before the initial anaesthetic was injected.

if you live with an animal for a while, you learn to read their emotions very well. i can't shake the conviction that she knew she was dying, that she maybe wasn't glad, but at least resigned to and accepting of her fate.

this is a lot of anthropomorphism, i know, no doubt catalyzed by my own intense emotions around losing her. but intuitively i'd say "yes, they know".