To answer this question, one also has to remember one other thing:
men KNOW that when they die, they will have a part in the Second Music(okay, maybe most of them don't, but the point is they do-did, oh shoot, stupid tenses). *coughs* Henceforth, all references to beings of
Middle Earth will be past-tense because it's easier for me.
Anyways: according to HoME, men will have a part in the Second Music-that's definite. However,
elves have no real idea what's in store for them once
Arda ends, because they are bound to it to deeply. Only
Finrod had some sort of inkling, I believe, and even he wasn't sure. They have to trust in
estel, blind hope, in
Eru's plan for them.
Ideally, I suppose that you could consider both men and elves immortal. After all, while men die physically, their fea
travel on beyond the reaches of Arda, so they're not truly dead in the complete and total sense; they've just moved on and they will continue on after the end of Arda. It's the fear of the unknown that makes men view this with dislike. Elves, however, can live millenia and never truly die in the physical sense, since they can be reborn. Yet they know nothing of their fate once Arda ends, so you can't truly call that a definite form of immortality.
I've messed up tenses again. Ah well. Even with all of this to consider, I cannot truly say which is 'better'-they both are simply as Eru made them(or
Tolkien wrote them *shrugs* ) and work out evenly on both counts.