Now with all wonderful the STEP guides, I couldn't resist, and I made some huge Oblivion and Skyrim installs, which I enjoy in parallel.
But as I play the Dark Brotherhood quests in both games, I can't help myself and I say: the Oblivion faction quests are simply better in every way.
Sure, I feel that Skyrim has a more fun gameplay experience, with the perks, shouts, good looking spells, great impact feel in combat, but in terms of the Faction quests, Oblivion>>Skyrim.
I think that the most important aspect is that the feeling you get while playing is different. In the Dark Brotherhood in Oblivion you feel like a badass assassin, following a clear set of rules, taking instructions from other badass assassins, which you can't help yourself but respect: the great vampire, the serious shadowscale woman and her brother, the mysterious elf archer (that has a Dark Elf equivalent in Skyrim), the brutal orc (which has as equivalent the Werewolf), the dysfunctional Imperial girl, that has found a family thanks to, of course, the awesome Lucien (which has the most awesome quote when asked for Rumors: "I don't spread rumors, I create them" - so badass). In Skyrim you are just a plain misfit murderer, following instructions from a woman that is very hard to like, and later befriending a crazy clown, which is veeeery hard to respect in any way, even if you read his diary with his sad past. Instead of a great, mature, vampire, we get a kid vampire, and so on.
Regarding quests, in Oblivion all the DB quests are fun and well thought, some of them with several interesting ways to finish them, and with the bonus being always interesting ( Scales of Pitiless Justice anyone?). And by the end of the questline (which feels a lot longer compared to Skyrim), you feel part of the organization and fulfilled. You Are an Assassin of the Dark Brotherhood. In Skyrim, by the end, you are... a disappointed murderer with a clown best friend.
I'm not saying its bad, but its simply not as pleasurable to be part of the faction in Skyrim when you compare the two games directly.
And we can extend this beyond the Dark Brotherhood.
The Fighters Guild vs Companions => Fighters Guild is a serious organization, that conducts business in the whole of Cyrodiil, and quests vary from normal business activities for a mercenary, to fighting a rival company that isn't so honorable. The Companions, on the other hand, are a bunch of fighters, with only one base, focused only on the Werewolf side of things in terms of storyline. Again, you feel part of a powerful organization in Oblivion, in Skyrim you are in a fight club.
Thieves Guild Oblivion vs Thieves Guild Skyrim => In Oblivion everything is shrouded in mystery and secrecy (think only about how you join), even if you are part of the guild, which makes sense, for a thieves guild. In Skyrim everybody knows everything about the weak Thieves guild, there is no real secrecy (think about how you join again), the members are thugs, and the Questline, although longer and better than the others, in my opinion, just isn't very thief-like towards the end (think about the Nightingale armor).
And lastly, the Mage Guild vs the College=> The Mage Guild is again, spread through all of Cyrodiil, and you have to work a lot until you get to the Academy, where the real magical research is done, and where you get to the cool questline involving necromancy. In Skyrim its like you get access immediately to a stripped down Academy, with just a few people inside, that do almost no real research, and you start and finish quickly a small faction questline.
As a summary, I think the biggest problem is that in Oblivion you feel you are part of something bigger, something that was there long before you, and will be there long after you are gone, even if you become a leader. You are part of those of organizations and its great. In Skyrim, you just don't get that feeling.
I hope that in the next Elder Scrolls game, the creators will look a little at the past, and learn about what they did good in those storylines in Oblivion, and try to recreate that feeling.
I can't compare the questlines for Factions in Morrowind, because its been years since I've last played it, and I'm waiting for Open MW to be completed, and maybe some more updates for Tamriel Rebuilt.