The Thieves Guild is the best imo. All the Thieves, even the ones you only speak to once or twice, are distinctive and interesting, the main plot is decently paced and doesn't feel as rushed as certain other questlines and there are a number of splinter quests which send you all over the place (The Litany of Larceny, No Stone Unturned, the Special Jobs). You also gain some very nice rewards which make the work feel workwhile. Four armour sets you can't get elsewhere, two weapons, a very useful amulet and lots of little unique items which you can use to decorate the base, or take for your own home.
I wish the latter half of the questline wasn't so bugged, but I'm sure it'll be fixed eventually.
The most disappointing was the College of Winterhold. The plot starts off in an interesting manner but you don't solve any of the mysteries surrounding what you discover or the people who help you. There are so many missed opportunities in that questline. The writers could have brought in the Thalmor and modern High Elf culture, they could have expanded upon at least two other notable mage orders, on Magnus even... but in the end, for all the talk of knowledge, the player learns nothing and everything returns to the way it was.
Spoiler The Eye of Magnus could have been as important to the lore as the Heart of Lorkhan. It's something unique, powerful and ancient beyond all known civilisations. I feel Bethesda really missed a trick there