I think the last quest of the thieves guild is one of the best 'quests'/games I've played. The build up to that, the story and then the execution is so satisfying. It was the highpoint of the game for me.
The F3 teaser gave me an Oblivion + Bioshock feeling too.
I've only finished Fighters and am almost done with the DB. I did most of the Mages Guild when I got the game a year ago. Fighters was really unimpressive, and Mages was annoying with all the errand running. DB has been fucktastic though so far-- the scenarios are interesting the fun and FRESH.
The mission where you are locked in the house with the six people and you have to quietly and secretly is FUCK. AWESOME. It reminded me of And Then There Were None so much. The last guy was like, "oh...it's just me and you and I'm not a mur...oh shit." and then he died.