Like others, I'd rather pick myself.
But if I couldn't pick myself, I'd pick my loved one. Why? All my loved ones, like myself, are atheists and we don't really get on well with the sorts of people who say they are going to heaven. So my loved one wouldn't really enjoy being doomed to hang out with those people in heaven. Our other friends and loved ones will be in Hell, so they'd be around people they know.
Sadly, in this scenario, then I'd be stuck in heaven with the creepy Westboro Baptist People, and all sorts of other judgemental people I don't want to have anything to do with.