I prefer what I call the "Hob Gadling" option (from the Sandman comic series.)
Basically, in a flight of whimsy, Death has permitted this dude to stay alive and at roughly the same age for as long as he likes. He can get hurt, sick, whatever, but he gets better eventually and keeps going.
He can die at any time, though: he just has to really, truly WANT to die.
I like that idea. Once immortality got unbearable, I could pass on just by wanting it enough.