Given the huge range of different vampires, zombies and werewolfs there are, it's impossible to decide.
A werewolf, in many fictions, would be the nicest alternative, if it's like in WoD or Blood and chocolate (awesome movie) but those are born, not bitten. A vampire can have any number of weaknesses or disabilities that would really make living forever a curse. The same goes even more for demons or ghosts. But if I got to choose the kind of ghost, vampire or werewolf. I wouldn't mind either of them.
The rest of the alternatives though, are just icky, whatever fiction they're picked from.