Whole life.. probably The Grateful Dead - mainly because of the number of recordings available and the overall quality and diversity of their improvisation in their live shows. They aren't my favourite band but I imagine being able to endure their discography far longer than anything else.
Looking at studio albums alone, I might go for something like Pink Floyd, Yes or Frank Zappa and try to squeeze as much depth to their albums as possible. If I knew I was going to die relatively soon, perhaps I'd opt for Led Zeppelin or Metallica

In summary, I don't think I could live with one artist my whole life. My tastes are too eclectic to not cause some insanity