For the first time!

Yes, I played Oblivion a long way back but decided NOT to do all of the sidequest arcs. This was before I played Skyrim and realized those were the entire point. Well, having completed all of Skyrim, I've since returned to Tamriel's past and am now planning to go through all of the various sidequests. I started with the Arena, easily enough, and have since moved on to become the Gray Fox.

What were people's feelings on the Thieves' Guild main quest when they completed it?

What did they like most about it?

And what should I do next?