My character wore Stromcloak armor when I did the Stormcloak side of the civil war. My current charcter is doing the Imperial side and wears their armor too. But none of my characters have worn Dark Brotherhood or Thives Guild armor in Oblivion or Skyrim. I don't think it makes any roleplaying sense for my character to publicly advertise they belong to these factions.
I wear DB armor when doing the hit.
Suppose I am going to kill someone in the streets of Markarth. I take some hooded robes and wear them as I enter the city. When I get to a good spot and prepare for the kill, I put on the DB outfit (I imagine that I was wearing it all the time - it just was under the robes) to help with mobility (I suppose that's the reason we are given the DB gimp suit). When I do the hit and run away, I go to the nearest corner and put the robes back on to disguise myself.