Wow - not many people can ask that question!
I suppose the most important thing is to consider what kind of person this guy is - and what would be the most meaningful thing to do, or give him to say 'thanks for saving my life'
If you are well off - you could give him a gift of money - or if that would be too embarrasing you could donate to his favourite charity.
Or you could show your gratitude by writing a personal card, or letter, perhaps attaching it to a small thoughtful gift. You could treat him to a meal in a posh retaurant or maybe give him tickets for the theatre?
Really, when you think about it - you owe him your life, and nothing you can do can match that. Just make sure he knows how you feel. You are a lucky guy to have a friend like that.