Hmm, let me think this through.
If I choose Islam or Christianity I'm royally fucked. Like seriously, I've already sinned way way too much. Besides, all the praying and confessing and all that would seriously bore me.
I would stay away from the Greek gods. Their expectations are way too high, they are totally unforgiving, and their afterlife is meh.
I wouldn't mind coming back, so maybe Buddhism or Hinduism. It'd be one to think about.
But realistically, I think I know what I would do.
‘Hey, erm, Odin? Odin? Ah, there you are. I think I'm going to go with you. I just need to die in battle, right?’
Then, I would get on the next plane to Turkey and purchase some weaponry. From there I would drive to Syria, and start hunting ISIS members. Pretty soon one of them will kill me. Then I get to spend eternity drinking, feasting, and fighting in the hall of Valhalla or the fields of Fólkvangr. I'm pretty sure the Vikings had mead, right? Maybe by this point they'll have jägers up there too.