There are so many possibilities, yet only one can be chosen...
Fan-fun: I'd probably go Amanojaku, Youkai Magician, or Kirin. The former-most because who wouldn't wanna be a trickester? That, and Seija'll be there to mess with. The middle one because with that power, I could probably find a way to bring back certain characters, like Rika. The latter-most, because Satsuki Rin. Her, and her alone XD
Practical: I'd probably be an Obake with no true form, or a Nue (I wonder if Obake can be without true forms...). Reason: Shapeshifting means being able to change what you look like (and perhaps what you can do) whenever you want to. Wanna be a dog? Change form. Crow? Shapeshift. Wanna be a creature with immense power? Just change into it. All the fun and completely practical