I don't like the Thalmor. I've killed them as often as possible across all of my characters. However, I was thinking about making a Pro-Thalmor Khajiit simply to try something different. I wouldn't get involved in the Civil War, but would complete the main quest because the end of the world isn't good for them, either. I'd make the truce as even as possible, swapping Markarth for Riften, allowing the ambassador to stay and forcing the empire to pay the stormcloaks reparations. Beyond that, however, what is there to do? I know there is a misc. quest in Markarth and a side-quest in Whiterun, but that seems to be the extent of it.

Would supporting the Thieves Guild be good for the Thalmor? Two people with close ties to the guild get invited to the embassy party, after all, and talk about how the Thalmor are good business partners. And what about the Dark Brotherhood? There seems to be some debate about whether or not killing the emperor would be good for the Thalmor.

I made a high elf, essentially, part of Dominion, but from a different party than the ruling one. There isn't much the game offers officially, but I do things with a certain mindset and understanding. For instance, she joined the Stormcloaks, killed Tulius and kills Imperials out whenever she can. As Tulius says, the rebellion favors the Thalmor as it makes Skyrim and the whole Empire weaker. Also, now the Dominion is actually free to invade Skyrim as it is no longer part of the Empire, or as a pretext to help 'restore order, and Empirial land, or as preemptive attack for the oft stated war the Stormcloaks plan to bring on the Dominion. Any of the scenarios are now open for the Dominion to use while simultaneously meeting the technical terms of the White Gold Concordant.

She also did the MQ, but she did it with minimal casualties to the Thalmor and will kill Delphine and Esbern once she has gotten all she can from them. At one point she will kill the Greybeards, if she can, as that will weaken Skyrim even more. Basically, you may end up doing things that aren't official or legal and that the game itself attempts to keep you from doing. It helps to be on a PC so you can change people to non-essential, and use other commands to deeply change some things.