I finished the game with a level two character, only because I needed to level up at some point for one part of the main quest. Since then I've sort of made it a rule that I level up every time I return to town (see usually I walk home too) and that keeps the difficulty nice and still allows me to gain max stat bonuses and whatnot.
I'mma agree. Dark Brotherhood and Thieves Guild were fantastic. I second the murder mystery quest, but I have a soft spot for dropping the trophy head on Baelin or whoever. Delightfully devilish.