It depends.
Part of me would like to be undead, but only if I were a vampire. In that sense, I live forever, but can still be killed. The drawbacks however are pretty severe, like the whole feasting on blood and turning to ash in the sunlight thing. And then the other end of undead, zombies and all sorts of disgusting "living corpse" type creatures, I would never ever EVER use as a means of gaining immortality.
Personally, I'd rather be more like Wolverine, just in the sense that he regenerates and thus can lengthen his lifespan quite a lot. He's not immortal, per se, just superhuman. I would much rather be superhuman than immortal. I figure this way, you get the perks of extremely long life without the downside of eventually wanting out, because you would die, just a lot later in life and you'd pretty much be ready for it by then anyway.