A method I've used in the past is to use the pdftoppm command (from poppler-utils).
Given a PDF file named 'MYFILE.pdf':
pdftoppm -jpeg MYFILE.pdf MYFILE
which will create (potentially) many files named 'MYFILE-?.jpg', where the '?' is replaced by the page number, padded so they're all the same length (if your PDF had 125 pages, each number would be 3 digits wide (005, 097, 124, etc).
Read the man page for pdftoppm for more information, you can adjust final size, DPI, output format (png, jpeg, etc), force black/white (mono) mode, and so on.
It's fast and works quite well for all my tasks. This is for Linux, Windows? ... GIMP (All platforms) will do this too, it's just a bit more convoluted.
Playing around with 'convert' to process a 202 page PDF with lots of text and images, convert took over 28 minutes and ate in excess of 3G of ram.
I imagine your system killed the convert process due to OOM (out-of-memory) requirements, as I received the exact same error when I killed the job myself. convert seems VERY inefficient and slow, and a larger PDF (mine was 202 pages) probably requires much more memory than you have (physical RAM AND swap combined). Possible solutions would be: Buy more RAM, increase your swap partition/swap file total size or use a different program which isn't so wasteful of ram.