The Fisher King sounds good except for one small problem--it would get dull. Unless you could live with other people and they would also be immortal, you would either be alone with your possessions or watch your loved ones grow old and die while you stay young. No thanks.
The Road Eternal is pretty cool except that you never get a moment to really rest. You have to keep going forever. You can go pretty much anywhere, but you never get to stop. You can't make friendships because even if they're willing to travel with you, again, you're immortal and they aren't. They get too old to travel, have to settle down, and you keep going, watch your the people grow old and die. ...Wait, could you just move between two places in a circle forever? That would make it better since you still had the option to travel when you want to, but it doesn't solve the problem of immortality. No thanks.
Dominion has the least direct downsides, but it's a life of constant stress and loneliness. You have almost everything you'd ever want, except peace, calm, and friends. No thanks.
I choose Nakama. I almost dismissed this one at first, but then I read the bit about losing your memories of past lives and decided it was fine. It circumvents the problem of remaining immortal while your friends die, letting you have a perfect circle of friends until your last life. It would be extremely depressing if you remembered your past lives, but since you don't, everything is fresh and new, even your friends. Sure, it's sad from the perspective of an outsider, but actually living it you wouldn't remember enough to be sad, and you're assured happiness in each life with your supernatural luck. It's the only one where you die in the end, but that's fine. More than fine. It means you don't watch everything temporal fade around you while you're timeless. And you get to live a normal life. Meet people, get a job, learn new things. These are things that the others don't have or only in limited ways. All I want is a normal life.
Also, as a horrible uranophobic (used to be worse though) I find the idea of reincarnation extremely appealing.