'The Collector' was, I think, one of the more undervalued quests in Oblivion. Yes, it was just a fairly casual way of joining dungeon delving tasks together, but providing you didn't look up the relevant ruins or anything, it was a quest that had the potential to be enormous.

Does Skyrim actually offer a similar quest in terms of multiple objectives, location visits etc - but all under one umbrella quest?

I've not found one, but I haven't done anything close to all the quests in the game, so I wouldn't know at this stage.

It's been a while since I've done that one but i just looked it up and it seems similar to the Barenziah Stones quest. You find one stone and then you get a quest to find the other 23. No maps though, just wander around until you find them all. They're usually in the possession of important people though, so it's not like you'll randomly kill a bandit and find one. I'm level 53 and have played I don't know how many hours on my character and I've only found 16/24.

Pupp beat me to it,ya,the "No Stone Unturned" quest requires you to find all 24 Stones of Barenziah that were stolen from his crown by a thief. I believe Vex at the TG is the quest giver on this one.

I really really would like someone less scum to give those to though.