Bards' College - I don't really consider this a faction, although I suppose it is... The actual quests are fun enough, but make little sense as an overall plot. Just generic fetch quests. Good rewards though...
College of Winterhold - generally enjoyable, but I was left with too many unanswered questions to be really satisfied.
Spoiler Namely what is the great power with the Eye of Magnus and why are the Psijic Order so worried? (I theorised that it's a self fulfilling prophecy situation, the power it has is the power to create fear about its power...)
Also, I wish you actually had to have some degree of magical proficiency to complete it, the first time I played it, it was with a stealth-archer and there was no problem with that.
The Companions - only ever played it once, I remember it as being logically sound and satisfying overall, although there didn't seem to be much beyond fighting ... and that's generally not how I play. I do like that you can run in to Companion Squads out in the wild; apart from the random encounters with assassins (and, as they're random, they have nothing really to do with the Dark Brotherhood) the other factions are self contained.
Civil War - either side (and I've completed it both ways), this is probably my least favourite. Go to one hold, clear a fort, that's that hold captured! On to the next one then... Very boring. And once you're done half of Skyrim looks like a bomb's hit it forevermore. I usually plan my characters specifically to be indifferent about the civil war so I can avoid doing it all over again.
Dark Brotherhood - probably my favourite, it had a plot that was logical, well explained and was fun as well. I like that it forced you to question the morality of your character and re-evaluate right and wrong in Skyrim; how would you justify this? Would you..? My criticism would be how you join, it just seemed very ... on the nose, obvious, for a highly illegal society that operates in the shadows. However, I do admire that you have to exhibit the requisite behaviours to join.
Dawnguard - no comment, I've never played it.
Thieves' Guild - I liked the first half of it, you start with small petty crime jobs and it looks like you're working your way up to the big heist ... and then it all turns very very weird. Not unenjoyable, but odd and really not what I expected from a crime guild. The bizarre thing is it still makes sense in a weird way, and overall I do like it. I would also give it points for actually requiring you to really prove yourself before you become the leader.
Overall, I voted for the Dark Brotherhood, although it was a close run contest between that and the Thieves' Guild.