I think I'd enjoy being a plain old ghost, haunting some old building somewhere, rattling my chains and being spooky. =)
That, or a skogsrå. It's a Swedish folklore creature that usually takes the form of a woman with a tail - either a fox-tail or a cow-tail - and a back like a hollow log. She lives in the woods, and likes to lure travellers into the woods with her by pretending to be a human woman (she hides the tail beneath a skirt, and is careful to keep her back turned away from people).
They're sometimes benign, sometimes not. Also, they can bend iron with their bare hands.
