אחת שאלתי מאת ה' אותה אבקש שבתי בבית השם כל ימי חיי
Dovid Hamelech says - One thing I ask of Hashem that I seek, that I sit in the house of Hashem all of the days of my life.
Did Dovid want to be a Kohen? Too late, he was born a Yisrael. So how can he sit in the house of Hashem [the Beis Hamikdash] all of the days of his life?
The Slonimer Rebbe: Dovid was saying that even when he is in his house, he wants it to be the House of Hashem. He should have a holy home.
In a similar vein: Many people live double lives. When they are learning or davening they are good and pure. However, when they get to the outside world and find themselves in mid-town Manhattan, all of the sudden their darker, more goyish side emerges. So Dovid prays - אחת - I want to be ONE. These contradictions drive me BESERK. My request of Hashem is that I should be ONE. Completely pure - no matter where I find myself.
Reminds me of this classic letter of Maran ztz"l: