One of those choices is the at the climix of the Thieves Guild the player is (spoilers: last warning) forced to swear an oath to Nocturnal and serve her even after death. Now, my player's not exactly one for Daedric worship- he's more out for wealth, but he's incredibly faithful to the Nine Divines.
Non-rp, I like playing the game (I usually play the DB and Thieves Guild questlines first, then my character finds reason to 'repent'), but in the RP side of my mind, I don't want my character to be robbed of his rightful afterlife. Is there a lore-friendly way for him to not be forced to serve Nocturnal after death? Maybe go to Sovngarde? The only thing I can think of off the top of my head is that he's Dragonborn, thus has the soul of a Dragon, and his soul is under special protection and Akatosh will not let it pass into the hands of a Daedric Prince.