Of course in a perfect world you'd have your choice of afterlife. But sadly that's not the way it works. If you want to go to Valhalla (and lets face it who wouldn't?) you need to be a practicing Viking ... don't ask me what that entails, but it seems likely it would require a lot of highly distateful raping and pilaging.
No, you don't get to choose your afterlife it comes with your religion. No religion, no afterlife. It's harsh, I know, but they (the religions) invented the afterlife and they get to choose who's in and who's going to hell ... or limbo ... or purgatory ... or Guantanamo Bay.
It is hard to imagine (if you can) an Heaven that really would be Heaven. No matter what treats or delights they may promise you, you are going to be there for eternity, and it's all going to become a little tiresome.