I also found the second-to-last Thieves' Guild mission (the one tracking Mercer) pretty fun. Stalking around the Falmer with Karliah and Brynjolf is pretty fun if you try to do the no-detection route. Also the ending is one of the more unique quest setups I've come across.

The Companions questline is too short, honestly. You're barely a full member and boom, ending in sight.

The Dark Brotherhood quests tend to be some of the more fun ones, and Skyrim is no exception. But my issue with them is that by the end of the questline, basically everyone is dead, which is annoying. I liked Veezara.