Obviously being immortal and having normal pain receptors.
Being mortal but feeling no pain is actually a real medical condition, a condition which is a curse for those who suffer from it and leads to a short life of frequent debilitating injuries, disabilities, depression and very often suicide.
I struggle to understand how this could even be a question, it's as easy a choice as "would you rather have cancer or the ability to turn base metal into Gold?".
One is a terrible medical condition, the other is quite a positive ability, and while you could argue about immortality being a curse, it's still a lot better than suffering from congenital insensitivity to pain.