Let's say you could be immortal (like a vampire, highlander or timelord). Would you accept the immortality? Would you rather live to 80 and die around the same time as your loved ones, or watch them die and move on.
Honestly though, a lot of immortals like the ones in Interview With a Vampire, Hemlock Grove, American Horror Story and Doctor Who, are REALLY FCKING DEPRESSED. But, not always. Some are happy and feel fulfilled, spending their vast lives dedicated to something important to them.