sabercrusader said:
The Dark Brotherhood. It was the best story you could have gotten in Oblivion, and it looks to be the same in Skyrim. Go to Windhelm, and search around untill you overhear a female Dark elf and a little child talking about another child that's trying to summon the Dark Brotherhood. Or just find Aventus Arentino's house and break in and talk to him, after you complete his quest, find a place to sleep (not in an inn), and you should wake up in a different place. Then, let your Skyrim Dark Brotherhood experience commence.
Wut? I always slept in the Solitude Inn (Winking Skeever) and I'd get the quest. I would then murder Astrid in cold blood, then go slaughter the rest of the Dark Brotherhood. Such is life.
OT: Hmmmm...the Companion questline is pretty cool. Start it in the upside down boat building in Whiterun.
Edit: The Mage College quest is really awesome, too. Start it in Winterhold College. You don't even have to be a Mage to do it.
Just make sure you're prepared before you go into the Labyrinthian. One of the hardest dungeons in the game, and I don't think you can get out once you're in.