I loved how in Oblivion, the vampire hunters in the city were actually vampires - which you could have noticed if you paid attention during the quest. The mages guild master tricked you into drowning yourself. A missing person was trapped inside his own painting. An orc tricks you into becoming prey for a cruel hunting game. Bandit women use seduction to try and trick you into being robbed.
^^^ these things were awesome, I would like more things like that.
Blood On the Ice is the only Skyrim quest which really has an in depth complex plot so far, but I won't spoil it, and please don't post skyrim spoilers here.
I think the next DLC shoudl have lots of complex questlines where you can be tricked by NPC's etc.