Being undead doesn't appeal to me, but immortality would. Remember, while our world suffers many horrors, it is also filled with countless wonders, I think the chance to experience those would be worth it. Although, I would probably end up with a god complex and think the world was mine to guide and shape.
Family/friends dying would be very hard, especially since some may turn against you in jealousy or what not. Although most people experience loved ones dying and still move on, I was actually chatting about this a few days ago. A good point that was brought up was how does an immortal/ long lived one approach relationships. Do you isolate yourself, become distant from the mortals, either to protect yourself or from not being able to relate; or view each relationship as a rare and fleeting moment that should be treasured while it lasts?
Sorry, been in a self-reflecting mood lately, so counteracting random question:
Can a vampire survive in vacuum (i.e. space)? Assuming you could depressurize yourself at a slow enough rate not to explode.
If they don't breathe and have any air in their lungs they are unlikely to go through explosive decompression but any fluid in their system (i.e. a blood meal) would quickly form bubbles causing the vampire's belly to rapidly swell.
The ablative effects of unshielded cosmic radiation would quickly burn away its flesh and if exposed to direct sunlight, well, you know what happens there...
People seem to forget that werewolf are tanks without armour. This basically means that to survive an attack you will withstand incredible amounts of pain, while murdering people in gruesome ways. You'll live, but you'll probably puke your lungs out, and feel crippled by the pain afterwards.
No, you don't actually want to be a lycanthrope.
All aware of the pain threash hold. Won't mention a spoiler here but I will say that pain is all part of it. Werewolves aren't tanks without armor either. They have a great deal of stamina yes, but silver is great way of countering it. Werewolves deal damage not absorb blows. Kill fast, kill quickly, leave nothing but a half eaten corpse.
Without being forced, I'd pick lycanthropy. It is fairly easy to hide and it just sounds like fun (albiet, incredibly painful). It would be easy to avoid harming innocents as well, even if I lost control in beast form. I think I'd pick it regardless of where in tamriel I was, but in Skyrim it would be especially useful for navigating the terrain.
That being said, I don't think I'd really mind being a vampire to much. From what I read in the comments it seemed like a lot of people assumed you would have to kill to feed, which just isn't true. Not only that, but it would be entirely possible that I could find a friend to feed from whenever necessary like the count of skingrad did. The only downsides would be, being weakened during the day (i'm a night owl anyway) and a weakness to fire, which I wouldn't want on me as a human anyway. On the flip side, I'd have the potential to live forever, and who wouldn't want that?