Umm...good question
I'd probably envy them a bit, but I'd probably take Tolkien's words into consideration as well. As said in the Silmarillion, the gift of death would be wanted by both Elves and Ainur as the ages pass, and perhaps Tolkien is right in saying that. It is probably something we can't understand as we are only "visitors" here on Earth, but perhaps with the passing of countless ages one would "fade away" slowly.
I'd probably have a lot of questions to ask.
Boo Radley, good point about not calling Elves Vulcans.
Still, I think they would be the type to answer with something more polite such as "Excuse me but I didn't understand thee" rather then "What?"