Why is Undeath Considered Undesireable?

As an undead creature:

You are immortal. Unless someone kills you you won't just drop dead.
You are extremely resilient.
You don't need rest.
You don't need to breathe.
Under normal circumstances you don't need to eat.
You can eat humanoids to use their body as raw materials for the necromantic magics that sustain your undeath to heal your own corpse.

Since the undead have no "needs", there's no poverty among them. Every single copper coin you earn can be spent on luxury.

"Oh, but you get ugly and stinky!"

1 - Such concepts are relative;
2 - There's magic for that. In fact it was the Undead Apothecaries who developed the perfumes and colognes so popular during the Love is in the Air holiday.

"Oh, but you turn sad!"

It's true that most undead experience rare positive emotions but that's more of a side-effect of the Lich King's shadow-based necromancy. As we've learned on MoP, negative emotions are deeply related to the void.

Also: 3 of the Happiest WoW characters are Undead. Those are Professor Putricide, Calder Gray and Dumass. Only Mylune can ever hope to surpass them.

TL;DR - Undeath Rocks!