So I was thinking...

POSSIBLE SPOILERS

When I became a nightingale, I promised my soul to Nocturnal. So, ok, I became a ghostly nightingale guy and go around and help thieves.
Then I got thinking, I'm a companion. Therefore, I'm a werewolf. Therefore, when I die, I go into the hunting grounds.

Then I was thinking, are these guys gonna fight over my soul? Do I just stay in limbo?

Once dawnguard hits PS3 then I'll be an immortal vampire so I guess it won't matter xD

Well Nords believe in Sovngarde. It's basically a heaven for Nord warriors.

None of the other races believe in Sovngarde so I'm not sure about them.