Skyrim makes it very difficult to role play hero. The 3 main problems are not being being able to stop the dark brotherhood, the thieves guild and the companions.
For somebody of such strength, being the Dovahkiin and arch Mage, it is very irresponsible to ignore these blights on Skyrim.
Perhaps some of these will be resolved in dlc but I think that if it wasn't for the 11-11-11 release date they would have been included in vanilla
For my "Nord hero" playthrough, I RP'd that my character joined the Circle out of naivete--she looked up to Aela, Vilkas, Skjor and the lot as great warriors and wanted to emulate them. After making that choice, she ended up regretting it. A few deep conversations with Kodlak and a more thorough study of the history of the Companions made her determined to cleanse not only herself, but the Companions as an institution. And she did! This was the first character I roleplayed that I felt actually deserved the leadership of her main faction (I didn't join factions which would make no sense for her to join). She took her experiences and a desire to right the wrongs of the past and used them to put the Companions back on a more noble path.
I ended up putting this character on hiatus before she eliminated the DB, but that was definitely in her plans!
As far as the Thieves Guild goes, as someone already pointed out, as it stands, they're dying on the vine and their power is nothing like what it once was. It's only if the Dragonborn actually joins them that they become strong. So maybe the Dragonborn has plans to finish them off, but has a few other issues to take care of first...