Which occult life state should I try?

They are all pretty great but I had to pick witch. With a witch, you don't have the transformation on the full moon, don't have to worry about wings, or dying from too much sun. Not that I use it often, but a highly skilled witch can resurrect the dead as a zombie, then with a sunlight charm, you can make them a normal Sim again. The hunger, bladder, and hygiene charms come in handy as well if you need to quickly fill one of those needs.

Werewolves are good for collecting gems, insects, and metals though but I believe dogs can do this just as good. Fairies aren't bad either, they have some powerful aura's that can help anyone nearby and the Sim themselves. Vampires are nice but the sun gets annoying.