Hmm... if I had a choice, I think it would be very cool to be trained as a Callidus Assassin, but I'm not sure how they get picked for service. I would get to do all kinds of neat infiltration missions. I'm not too much of a rank-and-file army soldier type person, so this way I could still serve the Emperor and have the freedom to venture off on my own. I think a mission I'd really like to do is infiltrate an ork warcamp, assassinate the warboss and take his place. Then I could order da boyz around and hopefully get them to focus on fighting humanity's enemies for a while, instead of getting all choppy on some peaceful civilian worlds. Ideally I'd send them off to take out some tyranids, they seem to be the biggest menace.
If I'm just plopped on some random human world, I'd prefer to keep my head low and hope I don't get drafted into the army. Maybe I'll quietly serve the Emperor on a nice farm somewhere, or file administrative papers for a big company in the city.