I think putting lightning as an advanced form of Firebending would make more sense than Airbending. As the show goes on, we see that what is referred to as Firebending is really more like bending the energy around them. That's why the sun gives Firebenders enhanced power; they could bend the heat and light of the sun into fire. That's why the Boiling Rock imprisoned Firebenders who stepped out of line into "the cooler", which was basically a glorified refrigerator; energy is slowed down in cold conditions. That's why the cartoon versions don't need to have burning sources to draw from to Firebend (screw you, Shyamalan!). And since lightning is a discharge of energy, it makes sense that it would be pooled under the energy-based element.
Back on topic, for an advanced form of Airbending... it needs to be something creative, something that would require advanced thinking to figure out. You needed to know that there was earth within the metal in order to Metalbend. You needed to rationalize that life contains water within it in order to Bloodbend (or Plantbend, for that matter). Maybe the advanced form of Airbending could be the ability to change the content of the air. Oxygen is not the only thing found in the air, there are other gases like nitrogen or carbon monoxide, so an Airbender could try to shift the oxygen present and make a certain area more concentrated with another gas that people wouldn't be happy to bend. Hard to say whether "Oxybending" (or whatever that would be called) would be on a level of darkness comparable to Bloodbending, but it might be. And maybe that's why the generally humble Air Nomads / Acolytes don't practice it.
As for which one I'd like most, probably Airbending. I would like to fly. Also, as long as I'm here, there is probably Air around me. The ability to fly and the fact that Air is so plentiful is why I'd like to use it. Fire would be second because I could probably come up with more clever things to do with Firebending than most people, and it's plentiful once again. Earth is my third choice. It would be cool to be able to shift the earth, but I'm not sure if I'd have the talent for Metalbending. So I might be a bit limited if I'm trapped on an oil rig (instead of in a rocky valley, Shyamalan, you dingbat!). Water is probably the one I'd least like to have. It seems like the most limited element in many cases without having to resort to Bloodbending, and I REALLY wouldn't want to resort to Bloodbending unless I absolutely "do-or-die" had no other choice.