This is not a popular opinion, I realize, but I adore Skyrim's Thieves Guild. I'd say I like it even more than Morrowind's or Oblivion's Thieves Guilds. I find the story interesting. I love the other guild members and the dank underground atmosphere of the Ratway. I love doing all the numbers, shill, sweep, heist, ect, quests. I love seeing the headquarters improve over time. My favorite job is altering ledgers. Sneaking into a place of business and fixing the books always tickles me, for some reason.
Of course, the Thieves Guild isn't for every player, or every character. You may find that thieving just doesn't suit you. That's fine. I happen to love playing sneaky thieves and assassins. So the Thieves Guild and Dark Brotherhood quest lines appeal to me very much in all these games.
If you find you don't like it, do something else. Do the quests that interest you. Shape your own experience.