By "one of those" it's unclear if he means a wight, a zombie soldier raised from the dead by the Walkers, or if they'd turn him into an actual White Walker . Being a wight would probably be boring (at least compared to all the sex and intrigue he gets to partake in as Jaime Lannister). But being turned into a White Walker, something we haven't seen happen yet, would be rather interesting. Those at least get to think and plot their very long-term revenge against all of mankind. On the other hand, both of these options include the process that Coster-Waldau actually fears, which an extra three hours of makeup application.