I'll admit I'm biased, in that I've only fully
completed the Thieves Guild questline. With the Brotherhood, I started it in my first file ever, then quickly stopped because I wasn't enjoying it and also wanted to play a more "lawful good" type character. The joke's on me, however, since she wound up becoming a vampire and has since effectively joined the Volkihar clan. But that aside...
I find that I love the Thieves Guild characters a hell of a lot more. Several of them are among my game-wide favorites (ie. Brynjolf, Mercer, Rune, etc.) and I've had fun with the missions. When I play as my main character, my Legionnaire/thief character, the way I RP her, she's definitely more of a Robin Hood-esque type who's only really involved with the Guild for information for a much more personal quest that brought her to Skyrim in the first place. I've just had much more fun with it overall.
I suppose that if I ever roll a more shady or devil-may-care character, I'll give the DB a proper playthrough. But as it stands, the only characters I like from that group are Nazir and ghostly Lucien, the latter whom I have rendered no longer spectral and a follower via the Creation Kit.
I think that the DB will suit me much better in Oblivion rather than Skyrim and the TG will likely remain my favorite questline, in addition to the Imperial Legion.