[Imladris]

My humble opinion is this: it would be better to be mortal. When you're mortal, you can escape this dreary world (be it ME or this world). ME was based on this world, since it is a mythology, so it isn't all good there, even with Sauron out of the picture. Can you imagine being stuck there? I would weary of life, even if I was in a good situation.

Humans were made to die, just as elves were made to be immortal. I think I heard/read somewhere that elves also tired of Middle-earth and that was why they left for the Valinor, a sort of heaven for them, I suppose. And in heaven, everything is good. It's a very nice way to "die" for them, I suppose.