All the major questlines are somewhat railroaded and there's not really a lot of freedom in them. Aside from dealing with the Blades and Paarthunax I can't think of many examples where the PC gets a choice or even drives the story. Each of the major questlines has issues, but these are made even more obvious when you put them together and spot the recurring themes - betrayal by leader of the guild. Check. Newly arrived dude is the chosen one. Check. Major story ultimately has very few repercussions. Check.
Even worse are the interdependencies, especially for the TG. In order to complete one of the main storylines (and get a bonus that would be awesome in early game, but is tedious by the time you can get it- yay, I have more gems than I know what to do with) you have to join the College of Winterhold and visit the Dark Brotherhood (which means killing someone), along with buying expensive property in one city...
I was about to write that the TG, individually, is the worst in terms of matching the guild to the activities - not a lot of thieving is really going on; then I remembered that you don't have to cast more than 2 spells to become head of the college and the bard's quests are mere dungeon crawls. In fact, the only storyline that even kind of makes sense is the DB (until you've completed it - Dark Brotherhood Forever is a ridiculous idea).
There are ways to fix these problems and on my last play through I installed a mod for TG that forces you to do more of the radiant quests before the story continues. I actually enjoyed this a lot more - the story elements are blended into the fact that you are doing thief related tasks. This also meant that by the time I'd completed the story I was actually ready to be leader, having completed the 4 special quests (which are actually pretty good). One of the annoyances from my first play through is that Brynolf suggests you'll be leader, but once you deal with Mercer it never gets mentioned again (or even a clue about what else you need to do)
I think a lot of this comes down to pacing - in the default game the questlines share an issue where things have to happen right now - the story drives you on aggressively. By adding in a pause, requiring more radiant quests to be completed before preceding and keeping you doing proper guild activities it really gets you more involved and the "story" elements don't seem quite so ridiculous.
Mods doing the same for other factions, including adding pre-requisites and segregation between factions, really help with the immersion and can make being a member of the chosen guild or group a key part of the story. I'd definitely recommend using something like that. If you can't install mods then just pretend...