There's several reasons for choosing the Thalmor embassy. There's the political aspect of it that I find intriguing in Skyrim and wished the devs had exploited more in this game. It is the different, complex and long stages of the quest that is quite unique. The different ways to complete the quest(stealth/melee) and the large and diverse building(it must be the building with most rooms in the game).
It was really fun and difficult to take on this quest in a stealthy approach. The other thing is that I didn't use the compass. I then had to search for real to find the objectives. The best experience was to go outside in the yard on the embassy property and try to figure out where and when the guards were at any given time. This is the kind of quest that I want to see in an Elder Scrolls game, and where I can solve in according to my playstyle.
And now your favorite loc or/and quest.