Seeing as the thieves guild is aligned, sort of, with Nocturnal who is an enemy of Azura, I feel like it'd "wrong" for my Dunmer character to join it.

Perhaps the Dark Brotherhood is a better option?

If your Dark Elf is dedicated to Azura, then avoid it. If you don't care about, say, pledging your soul to Nocturnal, then go ahead. There are other dark elves in the Thieves' Guild.

Only for RP reasons, if that is what you want to do.

It makes no actual difference ingame if you are a Dummer and join.

Seeing as how a Dunmer eventually joins the Thieves Guild, I'd say Dunmer don't really care about Azura, especially since she did curse them and all

Join it if you want. There is a ton of stuff you can do without any relationship with Nocturnal.

At one point you will be asked to go to a certain secret cave and put on a suit of Batman armor. At that point you should start thinking about walking away and forgetting that particular quest line. You can still do a ton more Thieves' Guild quests though and Nocturnal will never bug you.

Personally, my Dunmer serves all the Daedric Princes equally, even the ones that oppose each other (he subscribes to pre-Tribunal teachings), but if you want to support Azura, I completely support your RP decision.

Hmmm...will probably have to go with a second character for the thieves guild. My character does sort of have an Azura thing. Plus the thieves guild is a little more on the thuggish side this time. Which is probably appropriate but I preferred the Oblivion/Morrowind style thieves guild which had "codes" to some degree.

I just wish I had access to a fence, are there any available without joining the thieves guild?

Yeah ... well the Thieves' Guild aren't nice people, that's for sure. If your character is "good", you should probably avoid.

Only thing I can think of is the http://uesp.net/wiki/Skyrim:Speech.

But wait ... if your character is stealing stuff, then he isn't "good" ... so why not join the Guild?

Some people deserve to be stolen from.

Well, Azura DID curse the Dunmer into having 'eyes as red as a volcano's' and 'skin as dark as the color of their hearts'... so I don't see the reasoning behind NOT wanting to go against her.

Though in doing so Azura did give them a chance at starting over again.

So join the Guild and only accept jobs against people you don't like

If you want to steal stuff and sell it to criminals ... maybe you should hang out with criminals. You can't just go sell stolen goods at the Paladin's First Bank of Righteousness.

Karliah is a Dunmer...

My Dunmer joined the Thieves Guild. There are other Dunmer in the Guild, as previous post have mentioned.

I thoroughly enjoyed the quests. But do whatever feels right.