As unfortunate as it is, if one is playing a 'corrupted' empire playthrough (I.E. one wherein their character is directly manipulating the outcome of the empire's reign over, killing a certain significant figure, working through the blades, establishing a 'secure' comfort over skyrim allowing a false sense of security for said corrupt PC to thief and murder their way through, like my first PC) the Blades are a PERFECT choice.
It's those inconsistent shades of grey that result in players like myself being unsure of who to support. I STILL haven't finished New Vegas because there is 'literally' no one I feel comfortable backing entirely. The legion supports a blind faith to their cause, the NCR is an almost military state functioning, Mr. House is an arrogant dick and the independent approach ends up making me feel like if my character isn't a genius or an idealist, they're not fit to run vegas.
For non-roleplayers, a faction system like new vegas is more ideal, because it lets the player make a toss of the coin as to how they'll handle the story. For Skyrim though, it definetly makes them feel more 'constricted' whereas roleplayers can set up a branching layout for how they wish to have the state of Skyrim unfold.
And let me tell you, playing a Khajit who's sort of pulling the empire's strings (in a non-obvious way) makes for a lot of fun.