I'm currently building a back-story for my character, one that encompasses all of the major quest lines (thieves guild, dark brotherhood, Mages College, etc.
For me, my character's back-story is one of redemption and reluctant heroism.
He starts off by fleeing Whiterun as soon as he's warned the Jarl of the dragons, and makes his way to Riften where he joins the Thieves Guild, but after becoming the guild master he becomes bored of it all and seeks greater glory and power. He happens upon a young boy who, upon mistaking him for a member of the Dark Brotherhood, tells him of his desire for revenge upon an old lady in Riften, one who runs an orphanage there. Curious, but unsure if he should follow through with this, he travels to Riften to find this woman, and finds she is pure evil. Beating and torturing the children under her care. Enraged and disgusted, he sneaks in and kills her as she sleeps, unknowingly invoking the ire of the Dark Brotherhood for daring to steal one of their kills.
He is forced to join the brotherhood, or risk invoking their wrath even further by attempting to kill Astrid. He makes his choice, and is welcomed with open arms into his new "family." In this sanctuary, he comes across a word wall, and for the second time he feels compelled to approach, and upon doing so sees strange visions and almost passes out. He makes no mention of this to anybody, and begins his new life as an assassin. Being a Nord, he despises the emperor for being a coward and signing away his people’s right to worship whoever they wish, though he despises Ulfric even more for using this as an excuse to wage war, and weaken the empire even further. He climbs to the top of the Dark Brotherhood and slays the emperor, though he nearly dies along the way. However, upon meeting this man he is supposed to kill, he meets a man with more bravery and courage than he has ever shown. A man willing to accept his fate with pride and dignity. This shakes the assassin to his core, and leaves him questioning his own actions.
After slaying the emperor and killing the man who hired him to do so, he helps rebuild the brotherhood, repairing and remaking their new home, and seeking treasures hidden away by the brotherhoods prisoners. His doubts and growing unease continue to gnaw at him every day, growing stronger and stronger, until he finally leaves. He finds himself going through some of the books he "acquired" during his time with the thieves guild, one in particular catches his eye, and a small book entitled "Lost Legends." He reads the book out of mild curiosity and upon finishing is suddenly struck with the desire to seek out this Gauldur legend, to just pack what he needs and go in search of it, though do so would mean abandoning his responsibilities.
Convincing himself that whatever he finds, he can use the treasures and whatever powerful artefacts are hidden there to strengthen both the guild and the brotherhood; he makes his decision and leaves for Folgunthur. He finds the crypt, noticing that it is alarmingly close to where Astrid had held him prisoner when she forced him to make his "choice," he wonders if maybe there is some symbolism that this new path is bringing him so close to where his old path began, or perhaps it is a warning that he will soon be forced to make another choice.
He finds a camp made by a warlock and his minions, and realises he is in the right place. Leaving Shadowmere to stand outside the ancient crypt, he goes in with only his weapons and his wits to aid him.