eh....if you only played Oblivion, I'll be lenient with you, but only this time. Frankly, the Thieves Guild of Cyrodiil is nothing more than a bunch of glorified Robin Hoods. In Morrowind, you were sent to assassinate people at points, namely members of a rival gang and some of their supporters. Various books in Daggerfall had interviews of TG members stating clear as crystal that they will break a freelancer's arms and hands, along with informing to the guard about the freelancer. Oblivion is the odd man out, the others had no qualms about using violence, save for when you are doing a job that involves stealing. Reason being, if you murder someone while on the job, the guards will make the guild's life much more difficult.
I knew that paragraph would be unpopular. Seems a little evil forcing the player to choose between what were essentially the 2 most popular guilds in Oblivion, especially when they make use of the same skills but then thats what makes the choice so interesting, if every choice was easy to make then why offer a choice at all?
I know how the thieves guild quests were handled in Morrowind and yes you could kill people on certain jobs with few consequences however to be fair it was only the last 2 missions that actually required you to kill people, besides I like the new no killing policy introduced in Oblivion. As Armand says "you are Thieves not Murderers", if you need to kill someone to pull of a heist then you can consider the job botched, that being said do you really think that you can trust a member of the Dark Brotherhood to swipe the goods and resist the temptation to slit the throat of the beautiful Altmer maiden sleeping peacefully and smearing her entrails along the walls?
Now I know a lot of you are going to disagree with my characterisation of the Dark Brotherhood but from what I gathered the Dark Brotherhood arent really a traditional group of assassins for hire but more a group of murderers given purpose, at least that is what they were in Oblivion, this is evident by their recruitment methods and by talking to most of its members. Of course your character might have more self control than other Dark Brotherhood members however there is still a stigma surrounding those associated with the Dark Brotherhood and with the thieves guild's current policies I cant imagine that they would be too happy to admit a known member of the Dark Brotherhood among their ranks.
I think you SHOULD be able to be a member of certain guilds at the same time, like the Dark Brotherhood and Thieves Guild, because obviously no one outside of the guild should know you're a member.
The people of Tamriel are surprisingly good judges of character, ever talk to a guard and he gives you the spiel about how he can tell you are a murderer from the look in your eyes? Or ever had a townsperson come up just to tell you that you are a sneaky looking sort? They can even tell that you are a master of conjuration by the way you smell and I am sure that those running the thieves guild would sense something isnt right about that murderous twitch in your eye.