If we're not actually living in the world of these movies then I would choose the immortality. I think it would be awesome to have the chance to live forever, and if I truly got bored of it..well I could just decapitate myself.
As for losing loved ones..everybody does that, it is a part of life. Some people have to go on living for decades after having lost a loved one.
I forget if the highlanders can have children, but I don't ever want children so that wouldn't be much of an issue. But if I'm living in the Highlander universe this becomes a lot less appealing due to the whole "every now and then a maniac tries to murder you". You'd be constantly paranoid. Also eventually the whole "there can only be one" thing comes to pass and if you somehow manage to win..you lose your immortality. So that would be a deal breaker for me.
Just like with the Jumper powers..yeah it gives you freedom, but it's not worth it if one day you get Samuel L Jackson'ed to death.