I'd have to say the funnest quest for me to do was the one for Umbacano, where you just wander around finding ayleid statues. I got nine of them and then did his other quest and got him killed. Bad idea. Other than that, a lot of the Dark Brotherhood is pretty fun, especially the one where you sneak around in Fort Sutch, and the pirate one in waterfront. Some of the ayleid ruins are actually fun to do if you dont have an uber-character that owns everything.
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