Out of all of Oblivion, I think I liked the Dark Brotherhood missions best, that little story that unfolds, how you get Shadowmere, heck they could have based a whole game around that.
In Skyrim, I just thought what they did was a continuation of that - almost like the first time round someone really got into it and put in a lot of thought - then in Skyrim your doing mostly the same thing with the brotherhood, to me it's like they regurgitated it, when it should have been as cool as in Oblivion. I think the thieves guild missions in Skyrim are much better at least.
My all time favorite thing to do in Oblivion is to find that guy who drowned with the encumbering ring, and res him, and leave him there to swim aimlessly for eternity

I am the one who knocks...
