Nocturnal's afterlife actually sounds a lot more pleasant than other daedric princes. You're let out of your guardian spirit "contract" after some time, after all. And if you're of the thieving persuasion anyway (which you should be, considering the questline), walking in the shadows helping other thieves sounds a downright idyllic afterlife.


Come to think of it, hunting with Hircine sounds pretty boss as well. If you're into that sort of thing.