We can pursue many other avenues, such as business ventures, sports, political power, academic prestige, accumulation of wealth, or worldly fame. All these seem to bring the promise of happiness, but in truth, the pleasure they bring are only temporary.
Since happiness can only be achieved in one way, the commandments given by our Father in Heaven are not designed to be oppressive or controlling. Rather, they are inspired by pure charity. Divine commandments are really guidelines to happiness--the only guidelines to full, lasting, eternal joy.