Interesting question! Time was when I would have chosen immortality (or, to be precise, 'longevity coextensive with the duration of Arda') for sheer curiosity. As a teenager, I was intensely curious about the distant past and the far future and found it somewhat unfair that I would never get a chance to witness more than a few decades of history - hence the fascination of time travel stories like Wells'
Time Machine, especially the last few pages describing the traveller's last trip to a dying Earth populated by utterly alien creatures.
Nowadays, however, I suspect that there's a lot more fun in imagining such things than in actually being there.
I don't think I'd become bored for a couple of millennia - not before I'd have travelled all over the planet, learned to speak every language ever spoken fluently, play the guitar to my satisfaction and improvise verse in every metre ever invented, and that's just for starters. (Give me enough time, and who knows, I might even study mathematics in the end!
) If there's one thing I envy the Elves for, it's this - time to learn a craft or art to perfection, and then another, and yet another. I also imagine that, knowing they literally have all the time in the world, they would be able to immerse themselves completely into whatever they're doing at the moment, without the fear of missing something else; whereas we mortals always tend to have too many things going at the same time (unless you're a Zen master or some such).
On the other hand, the older I get the more I become curious about what JK Rowlings' Dumbledore called "the next great adventure" - and regardless of whether there is any such thing, I feel it's a bit greedy to want more and more and more of this life, and OK to give it back when I've had my fill.
So where does that leave me? It would be nice to share the fate of Elrond's children and get the best of both worlds, so to speak - live for a few thousand years, and then move on. But if that's not an option, Elros' choice is allright for me.