I highly recommend doing the Dark Brotherhood quests. A lot of murder quests, including a good murder mystery. All you have to do is kill a civilian and go to sleep, and then their leader will invite you to join. You can even become a vampire eventually
It can be fun to fight at the arena in the main city. There are a good few challenging opponents, and you also get paid for every fight.
I forget what guild it was for (it might have been for the Dark Brotherhood) but I loved doing this quest where I was searching for some crazy guy or something, and I got to read his diary. It was really, really messed up and twisted. I loved it. Seriously, the literature in this game is one of its best aspects.