College of Winterhold
This was the first guild I did, and as such, I was pretty low level. The main quest chain was interesting, however it was short, and pretty predictable. If you're in it for some sweet mage rewards, do it for that. If you're just here for spells, don't bother with the quests. Some of the side quests are funny, and easy, But all in all, this was my least favorite guild. After the quest chain you can go on to preform boring tasks for the College. These are no fun at all.
The Companions
Out of all the guilds, this one was the most "normal". In Skyrim most guilds have some sort of issue, whereas the companions are pretty set in their ways. You get one big plot twist, but after that it's all pretty normal. Becoming the Harbinger doesn't yield crazy rewards, so out of all 4 guilds this is the "least" rewarding. You can continue to do mercenary work after finishing the quest chain.
The Dark Brotherhood
A fan favorite this one. Decent quest chain, with an interesting end. Good rewards for finishing the quest chain, however the real prize are the endless assassination contracts you get after finishing the whole chain. Out of the four Guilds, this one has the best end content.
The Thieves Guild
The last Guild I did, and by far my favorite. Great story, fantastic end, and the best rewards. If you enjoy break-in's and general thievery, this also has the best end content. This one also took me the longest, and even as I type this, I'm still working on rebuilding the guild. This is my recommendation for a first guild. At least, if you're a stealthy class.
Anyway, thanks for listening to my "reviews" of the guilds. If you have any questions, post here, or feel free to PM me. I wanna say, I love all the guilds, but I may be slightly biased towards the Thieves.