I would choose number one, hands on...
However, an interesting discussion was made by someone here. He claimed that if you go back to real life with no memories, you won't be able to see the aliens, hence "Try" to avoid them. With Gantz, you at least have the weaponary to fight back.
I find that interesting because a lot of people who just went on with their lives seemingly end up dead...you could be walking down the street, only to be stepped on by an invisible Buddha. Or go shopping, only to get killed by a massacaring psychotic sociopath who has nothing better to do than kill hundreds of people.
So the question remains...is the first choice, the choice that so many people strive for...really safe?