Originally Posted by DArtagnan 
Just play through the Dark Brotherhood quests, at least 
They've been hyped a lot, and no - they're not THAT good - but some of the writing is pretty strong, and amusing if you like that sort of dark humor.
I didn't join the Dark Brotherhood in Morrowind because they seemed a bit on the "evil" side, which I don't normally role-play. I'll be sure to check them out whenever I start Oblivion again though.