Apart from fear of death, there are a lot of good things about living forever. Say 2000 years pass and someone asks you there really was an atomic bomb or if its just a myth. You can tell them that there was, and thus help preserve history while at the same time observing the advancement of humankind. Losing loved ones would be hard i admit, but a lot of those loved ones are going to die before you do anyways. You can't avoid the pain, but you can remember them.
Imagine, if you will, having a scientist able to live for 1000 years, starting back in, i'd say about 1870.
The problem with most scientifics now is no matter how specific one is, there's that niggling little detail in the back of their heads that seems so minutely obvious that they don't think to write it down. Not a particular fault of theirs, but human nature. Everyone assumes a scientist of all people is going to be able to pick it up right off the bat. But the new scientist that takes over for the retired scientist is looking at it from a different angle, even just slightly. As a result it takes him a few months to figure out almost exactly what his predecessor was thinking, and a few years to perfect the swing of things, so to speak, and start making real progress.
So for each change of hands in the scientific community, we lose a few years of in depth research and advancement. However, aforementioned scientist who lives a thousand years, wouldn't need to change hands, and thus, could get far more progress. With infinite time comes infinite ability to learn and apply the knowledge. Imagine being able to cure aids, and from there, curing some other deadly illness from the future, because you know how to research and what to look for and not look for so specifically that it could take months for someone else to do it.
Or, if you care less about the advancement of your fellow man(and I can't blame you really), you'd be able to see the future of video games and the ultimate downfall of man entirely.
and given that no illness or wound inflicted by mortal man could kill you, that opens up some options that otherwise would be ill-advised at best.
Me, personally, if i got to live forever and see the downfall of man, the first thing i'd do is probably go have sex with a hunter. *shlickshlickshlick*