The College of Winterhold is the only one I've done so far. I was rather disappointed with the College. . .
They will sell you training (in terms of skill levels), but don't actually offer any real, actual training, in terms of teaching the player how the magic system works. . . you're left to mostly figure that out of your own devices. . .
You basically get one good magic Staff at the end of all that, and a nice enchanted robe (and access to the Arch-Mages quarters, for what that's worth, which isn't terribly much - it does give you some alchemy ingredients, some soul gems, etc, and access to alchemy and enchant labs, but those are pretty much everywhere).
You don't really get much reward until the very end of the story arc - with Oblivion (and Morrowind), you got decent quest rewards after almost every quest (magic trinkets, new spells, mages staff, etc) that gradually helped you to become a more powerful magic user.
The story arc doesn't really introduce you to interesting locations in the world in terms of, well, an example from Oblivion - you learn about Black Soul Gems, and the alters where you can make them; there's nothing similar with the College of Winterhold quest line. I found a note somewhere in one of the locations I was doing the College quest, called "Atronach Forge Recipe" - which sounds very interesting, but I have absolutely no clue what or where the Atronach Forge is (it sounds like an arcane device for making semi-permanent Atronachs, but I don't really know for sure). Might've been nice for the College Quests to introduce me to that.
Basically, I felt my time at the College did little to help me learn how to be a better mage in Skyrim, or to give me much good mage equipment, except for that Robe and Staff, which, admittedly, are very nice, but that's about it.
Also, the story was rather linear and unsurprising, with no real plot twists that weren't glaringly obvious from the start. I have one more complaint, but I'm going to have to put it in a spoiler block:
Spoiler The whole darn story arc is about investigating the Eye of Magus, and the Psijic Order just teleports the Eye of Magus away without us learning anything about what it is, what its history is, or without us being able to do anything with it - in short, the whole story arc was a complete and utter waste of time. I mean, we're in exactly the same place at the end of the story as at the beginning, effectively - no Eye of Magus, and we don't know a damn thing about it. Seriously, if you're going to put something like that in the game, at the end of the story arc, I should be able to use the Eye to get some benefit (maybe it can grant me one out of a selection of powers similar to the Orrery DLC from Oblivion, or the Standing Stones in Oblivion, or I can use it to enchant staffs, or, well, *something*. I mean, damn. "This is too dangerous the world is not ready so we'll seal it away. [censored], you'll seal it away. I would have liked to murder their smug Psijic asses while they were distracted trying to teleport the Eye out of the College, and keep the Eye lol.