"You are the only ones I knew intimately from among all the families of the world, I will therefore hold you to account for all your sins" [Amos 3:2].
This verse, which appears in the Haftarah for this week, leads us to understand that the status of the Chosen People is not a comfortable position. If we ask ourselves if it is worthwhile to be born a Jew, since after all the Divine guidance keeps track of all our deeds, the answer will certainly be that it is more convenient and advantageous to be born into one of the other nations, where we can live a more comfortable and natural life. The Maharal of Prague wrote that while the other nations act in accordance with nature, the Jews act in accordance with the Divine "separate" trait ("nivdal") ("Tiferet Yisrael," Chapter 1). And for this reason the other nations are the majority and the Jews are a minority.
However, you may ask, what about life in the world to come? The answer is that every person can merit the life of the world to come if he or she wants to, even if he is not a Jew. This must be so because the righteous people of the Gentiles also receive a portion in the world to come (Rambam, Hilchot Teshuva 3:13). A Gentile who is not interested in having an eternal life can simply refrain from doing what is required of him, thereby relieving himself of the task of achieving a place in the world to come. A son of Israel, on the other hand, can never free himself of his obligation, since, as we have been taught, "Everybody in Israel has a portion in the world to come" [Mishna Sanhedrin 10:1]. A Jew cannot escape from the life of the world to come, and therefore every member of the nation of Israel must experience all the suffering and the purification steps in this world and the world of the souls (including reincarnation) until he will be suitable for his ultimate goal in a life of eternity. (See Rav Kook, Olat Re'iyah, volume 2, page 156; ARI, Likutei Shas, introduction to Pirkei Avot.)
It is therefore clear why most of the souls in the world chose to become Gentiles and not Jews.
Does that mean that we actually choose who we will become? The answer is yes. That is what Rashi wrote, commenting on the passage in the Talmud, "All acts of Creation were performed willingly" [Rosh Hashanah 11a]. As Rashi writes, G-d asked all the creations if they wanted to be created, and they replied: Yes. The stage when the choice to be created can no longer be reversed is later, at the moment of creation. For a human child, this is forty days after conception (Sanhedrin 91b). In the Mishna, this point is described by the following passage: "You are created against your will." [Avot 4:22]. The first choice to become what we are is called by Rav Kook "the choice concealed deep within existence" [Igrot Re'iyah 283; Olat Re'iyah volume 2, page 157].
One matter that is still to be determined is why a minority of the souls did make the choice to come to the world as Jews. The answer is that they are idealistic souls, whose only objective is dedication to G-d alone. As is written, "Not for our sake, G-d, not for our sake, rather for the glory of Your name... Why should the other nations say, Where is their G-d?" [Tehillim 115:1-2]. And if you ask whether being an idealist is worthwhile, our answer is that an idealist does not ask questions about intrinsic value.