There is so much that I love about Oblivion, it's darn close to being my favorite game ever. Actually, it probably is.
I must agree with you NeoDeath, the Dark Brotherhood questline was by far the most enjoyable questline of the bunch. It was sadistic, gave you a fair amount of freedom with regards to how you carried out the missions, and the plot was full of twists. One of the more enjoyable books in Oblivion is also in this questline, which would be the crazy rantings of that traitor living in the lighthouse. I loved every minute of that.
But really, its just one of many things I love about Oblivion. Lots of funny quotes too.
"Do you know what the fine for Necrophelia is in Cyrodiil?". Hilarious.
One last thing, the choices you could make in general. In my last character, I played a lawful fighter, so rather than enter the Dark Brotherhood when I killed someone, I rejected Lucien Lachance's offer, and killed him for that snazzy robe of his. Dark Brotherhood Robes without having to do the quests = Awesome.