Theive's Guild, although, if you pay attention to the quests they're really empire bias, which I don't like. I want them to be more like the vagabonds that they were in Oblivion. They lost all of the cool Robin Hood morals and just became septum-whores. They're fun though... *sigh*. The collectibles are exceptionally good.
Also, they live in a sewer; a SEWER. How about a super-secret mountain cave-hideaway behind a waterfall next time. I mean, seriously, BANDITS have cooler hideouts than the Ragged Flagon.
The companions are also fun, especially for the werewolf parts, but they never have a cool vibe; just the lame, generic warrior trash. At least they're more fun than Oblivion's lame fighters guild.