Are in Skyrim quests like when you do that quest you can't join this guild or you can't finish this quest. In Fallout New Vegas that annoyed me.

The only one I know of is: if you join the Stormcloaks you can't join the Imperial Legion, and visa versa. You may be able to betray but I don't know.

Are you asking if any quest might close you off from doing another quest?

We strongly believe the Imperial and Stormcloak lines will do this. And it's possible that others may, as well.

I heard rumors of not only the imperial/stormcloak but also thieves guild dark brotherhood. If you completed the brotherhood before you join the thieves guild then you can't join the guild. Unsure of if it's true or not.

When I play Skyrim I want to do ALL quests and join every guild in the game and collect all what should be collected(or not^^). That you couldn't do in FNV but I remember that we could do that in Oblivion (don't know anymore if thats true)

You couldn't do it in Morrowind, either. Some feel that closed doors promote replay. Anyway, I hope the major content isn't so limited that a few closed doors make playthroughs feel trivial.