Hmm... I think I have a fairly lengthy list.
From the LOTR:
Hobbit - Just because I would love to be a properly proportioned mini-human, and I would definitely get a Hobbit-hole built (already have plans for this, but it can't be hobbit-sized unfortunately since I am 6' 1").
Dwarf - Just so I could drink everyone under the table.
Elf - Immortal (very appealing), graceful and wise. It'd probably be the perfect existence for me, as I lack all three of those things.
Maiar (The Wizards, Sauron, etc) - powerful, as well as immortal and wise. Since I live in the real-world, there wouldn't be anything more powerful than I (other than guns).
Dragon - Smaug is definitely one of my favourite characters from Tolkien's work. I'd have armour-plating over my ENTIRE belly, but I'd be a nice dragon so I hopefully wouldn't need it.
That's it for LOTR.
I'd would also enjoy being a Sanghelli (the Elites from the Halo universe).
A Kyptonian, as others mentioned above.
Lots of other things I would like, too. If only I could shapeshift