The Dark Brotherhood is the worst second time round, because you know about the dead drops being switched which kind of ruins the surprise. I liked the Thieves Guild the second time, because its the only faction that actually requires some skill, since you have to fence stolen goods in between each quest, and exploring/casing out homes and shops for loot is fun.
The Arena could actually be considered the worst however, since it isnt even a questline, you just fight stuff in the same location which is bland.
Spot on mate. I still did the DB questline a couple of times, but as you say not quite as engrossing as the first time.
Usually mix up Mage's and Fighter's Guilds depending on my character build, or neither, or none at all.