As soon as you start your game, before you rest the first time, go to Balmora and join the Fighter's Guild. From that point on, you can sleep in the bunk room downstairs, safe from Dark Brotherhood attacks. Why?
http://i3.photobucket.com/albums/y71/teh-roxxors/foilingdarkbrotherhood.jpg
I face the bed as you see when selecting it for rest. If an assassin appears, he will appear stuck inside the bed, entirely helpless. I don't know if this works anywhere else, but it certainly works in this one spot, and it has enabled me to survive the beginning of the game.
And their gear makes for a terrific source of income....