Being an ephemeral spectre is the best option - you can go wherever you please, day or night, and your existence is not dependent on a food/energy source (a la zombies, ghouls, vampires, etc.). You have your choice of what reaction you want to get out of the living: you can scare them, intrigue them, enlighten them, whatever.
If I have any say in the matter, IRL (ha!) I want to come back from the dead and haunt the Haunted Mansion at Disneyworld. The irony would be delicious.
If declining is an option, that would be my choice. Undead are usually evil, and definitely unnatural. Really not my thing. Valhalla, I am coming.
However, if I have to be some form of undead, I’m going with lich. I’d be at least an 18th level Magic User (yeah, I know clerics can be liches, too…but mages are way cooler), and not have to deal with the whole drinking blood thing. Plus, I’d get a really cool lair in some out of the way location, with lots of minions and mini-bosses to deal with the inevitable raids…
I would’ve gone with vampire, especially seeing as how I went through a phase in high school where I thought they were just the bee’s knees.
But they tend to be big on the “self-loathing, eternal life is a curse” thing, so I went with lich.
Sure I’d stink of rot and decay, be a little rough on the eyes and be evil through and through, but at least I’d enjoy my undeath wreaking havoc, commanding armies of lesser undead, building a devious lair full of traps and cool stuff I acquired and, of course, plotting world domination.
I’d actually like to be an amorvrin from the Harn mythology. Sure, I’d be the embodiment of evil, but that doesn’t mean that I’d have to be an asshole. And even if I am, what are you going to do? Kill me? Good luck with that. I’ll just reform in my burial place and come back even more powerful. And I’ll only have to eat one soul a month.
The downside is I’d be eating the souls of anyone that comes near me. I’d have to go to the movies at really odd show times.