I am going to play devil's advocate here, as so many people are saying heaven.
Three Reasons One May Choose Hell

1. What if Satan wins?
The battle isn't over yet. What if evil eventually does take over everything. Wouldn't you like to be on the winning side.
2. Alot of great people are in hell.
If you go be Christian definition, or simply plain evil people, lots of interesting people are in hell.
3. "It is better to reign in Hell than to serve in Heaven."- Lucifer Morningstar himself in Milton's Paradise Lost