I absolutely loved Harkon because he's a nice example of Bethesda not being afraid to ham it up.
The Snow Elf plotline also did a good job of showing how grey the world of Skyrim really is. The Companions aren't a collection of noble good guys with a heritage of defending humans but a bunch of guys who committed genocide on the native people.
Then they painted it over.
I also loved how, once more, a "prophecy" in the Elder Scrolls world is people saying something and other people working to make it happen.
The Forgotten Vale was also beautiful.