ONE thing...that is what David is directing us toward.  The problem is our ONE thing is typically different than his.  Our deepest desire should be to desire the presence, beauty, and wisdom of the Lord.

Psalm 27:4 One thing have I desired of the LORD, that I will seek: that I may dwell in the house of the LORD all the days of my life, to behold the beauty of the LORD, and to inquire in His temple.