Could also go the route of being a decedent of one like what that one Altmer in Bloodmoon believed.
I usually join the Companions just to rub the fact that and elf is a better warrior then them in their face and claim Wuuthrad and dispose of it properly.
I chose to join the imperials and help wipe out some further traces of the old Nordic Culture and make sure that they'll become more imperialized before the Dominion conquers them.