This was the reply given by Rasul Allah (sal Allahu alaihi wa sallam) when Abdullah Ibn Masud (radi Allahu anhu) asked him about this ayat: “And do not regard those who have been killed in the cause of Allah as dead, rather, they are alive with their Lord, being provided for.” [Al-Quran 3:169]
While the rest of humankind is in their graves, the shuhada go straight to Jannat to begin to enjoy its blessings. They are so happy here that there is nothing more that they can desire. When Allah (subhana wa ta'ala) insists on asking them what else they could want, they say that they desire to be martyred again for Allah's cause in order to become more worthy of the extreme felicity that they are enjoying.
They are in this form of birds in Paradise till the Day of Judgment; the period known as the ‘barzakh’. Then their souls will be put into the bodies that the people of Jannat will have, after which they will enjoy life in Jannat in the form mentioned in numerous ahadith and in the Quran.
The best bargain that could be made is the bargain we made with Allah (subhana wa ta’ala), that is to exchange our short earthly lives obeying Allah, in exchange for immortality spent in never ending happiness.
This hadith has been sent to me by dailyhadith.