Lycanthropy = Hircine's Hunting Grounds
Nord = Sovngarde
Dark Brotherhood = The Void
Nightingale = Servant to Nocturnal
Serving all the Daedric princes = ???

Where the hell will the Dovahkiin go when he/she dies?

The Dovahkiin doesn't die. If he does, the game reloads...

Sovngarde isn't just for Nords, you have to die a death of great battle in order to get there, adding to the prerequisites. Which I think everything you do as the Dragonborn will set you there--some lore.

The Void, if I am correct, was only for those that died by those with a contract by the Nightmother, who serves Sithis.

I don't remember there being a place for the Daedric Princes, you just had to loyally serve them in life (except for Nocturnal)

If you cure lycanthropy you don't have to go to Hircine's Hunting grounds.

So I'd say, if following the above, you'd be left to serve Nocturnal in death.

I'm heading to Hircine's Happy Hunting Grounds.

For Most other Dovahkiin, I would think that Sovngarde awaits.

http://www.uesp.net/wiki/Skyrim:Sovngarde_%28place%29

It is the Nordic afterlife.

LOL, for some players, there'd probably be a divine war going on as to who gets your soul. XP

Wouldn't the Dark Brotherhood's souls end up in the Web?

I believe those that were claimed as a contract for the DB go to the void , claimed by Sithis.

Sovngarde is waiting for me

That's what they say, but then they think Sithis is actually listening, bless 'em. Mephala might actually have uses for a mortal's soul, debatable whether Sithis knows anything at all, let alone what a soul is.

Sovngarde for my Dragonborn. [censored] Nocturnal and her [censored].

Well, as a vampire my dovahkiin plans to (un)live forever

The Dovahkiin's soul is split into different parts, all of which have their own unique "personality" that fits to... What I'm trying to say is that the Werewolf side of the Dovahkiin would go to Hircine, the Assasin side goes to Sithis and so on.

Or maybe his ghost gets absorbed back into Akatosh. Which would probably svck.

I lost my girl sidekick where is she?

Civil war in Skyrim, hardship in Vardenfell, dragons returning, Thalmor purges. She could be stuck in a queue with the rest of the Dreamsleeve back-log.

She/He'll probably just go to Aetherius, and reincarnate. I think Akatosh can easily [censored] slap the Daedra, and Sithis, and stop them from taking your soul.

Also Sovengarde is a rest stop in Aetherius. in the end the Nords who go there will just reincarnate.

Isn't that life's biggest question?

You do realize that you just asked a question that any lore buff will tell you cannot be answered? There are so many different perceptions of the afterlife (or lack thereof) in the lore that I'd have to say it's all up to how (and if) you roleplay your Dovahkiin.

When I was there they said they will welcome me with open arms when I die. I'm Breton

Just a quesiton out of curiosity.

I also like to turn off the PC after dying and waiting until the Daedric Princes and Akatosh and Arkay and The Gods of The Hist and all the other Gods have made up their minds (with a game of chess that takes 45-55 mins) then go back to playing back in my body. In the end, as long as I swear to do one incredible task for the God who reincarnated me such as only using shouts to kill for 1 in-game day for Akatosh, I get to live. Fail and I have to wait for 1 real time day before playing that character again. So I fail on Dolsme, my Dark elf Assassin chick I can continue playing on J'Ram-Zu the Argonian Mage.