You can destroy the dark brotherhood, but the substance of that task is very shallow, you are rewarded far less, and can't even ensure its absolute destruction since at least two members will escape regardless.
You can't turn on the companions, and destroy/reform the entire guild to be non werewolves until you yourself have already been forced to become one.
You can't side with the Thalmor agent, and sabotage/take control of the college of Winterhold.
You can't destroy the thieves operation in Riften, you can't expose/oust Maven Blackbriar, and you can't tell Nocturnal to go get lost.
Another thing....
In Oblivion, you were Mercer Frey. You were that skilled, exceptional, professional thief with balls of steel. If not for the good of the people (since Oblivion's Thieves' Guild was more Robin Hood like), you were stealing for the pure thrill of it all and for bragging rights. Your exploits were cunning, clutch and impressive, unlike in Skyrim where you basically do nothing but walk into people's houses and just smash their crap and punch them until they give you cash...
In Skyrim....why am I hunting Mercer for having balls of steel? Why am I hunting him for being incredibly cunning and skilled? No no, he's what I want to BECOME. Honor among thieves, but tbh the Skyrim Thieves' Guild feels like it's filled with absolute idiots. They kinda had it coming.
Y'know what I want? I want an option at the end to screw over Mercer Frey, the Skyrim Thieves' Guild AND Nocturnal. I want to do what only Emer Dareloth ever dared to do and steal from a god herself. I want to take the skeleton key from Mercer Frey, and then when the Nightingales ask me to return it to Nocturnal, I run off with it. And all the treasure.
Instead, what do I get? I can swear my soul to Nocturnal? Why? For revenge? THE HELL DO I CARE? I wasn't even around when Mercer did all that crap; that's not MY revenge to have, that's Karliah's.
I REALLY wonder who wrote the Thieves' Guild. Who the hell wrote this and said "hey let's have the player swear his soul to Nocturnal for all eternity just to help Karliah, a random dumb [censored] he JUST MET, get revenge on some guy that you really don't know all that well. THEY'LL LOVE IT!"