I'm thinking of this live forever thing in a different light. The OP simply stated that we would always be conscious, not that our actions were restricted to the activities of our current lives. I would choose immortality with the view to find out who i truly am in a spiritual sense. I would spend years devoted to meditation and things like that to see whether that could actually take me anywhere. Eternity is a long time, and my beliefs lead me to think that i could evolve my mind and live within an altered state of consciousness where life seems quite different. That's just a vague concept and i don't mean anything concrete by it, but that's the general idea i'm approaching this with.
In the extreme/fantastical i could even imagine myself eventually evolving my being to something that has little connection to this physical reality we commit ourselves to. Remember, all that was stipulated was consciousness, not the nature of this consciousness.
Basically what i'm saying is: think of all that we don't know about life and ourselves. Then think of what an eternity might uncover. Who knows, maybe choosing death would mean bypassing some kind of literal Nirvana. Of course, if you don't exist there's nothing to regret and it won't make any difference. But i for one would choose to experience life.