In my opinion, bethesda should go back to the Morag Tong. there's just something strangely fulfilling about being able to show a guard a piece of paper, then laugh in his face when he trys to arrest you B) . If the next game is set in Skyrim, and after the events of the Infernal City, it's fair to assume that at least SOME of the fleeing Dunmer would be Morag Tong members, so it's only reasonable that they would open up shop in their new home. Although what with Skyrim being a different province, the locals might not be so willing to embrace the Morag Tong, but that just makes things more interesting, what's more important; the local law, or long held dunmer traditions. This would also give good players a chance to sneak around without being reminded every 5 seconds that you're MURDERING in the name of a dark god.
And another thing to ponder; people often talk about how bethesda drop hints about future releases in current games, but to date, there hasn't really been anything credible to be found in oblivion, other than people talking about events in the other provinces. The mehrunes' razor DLC had a MT assassin which in all reality didn't NEED to be there (you could easily miss him and never know he existed). A random extra to make the DLC more interesting? Or perhaps a subtle hint from bethesda that the MT aren't gone from their games just yet? (I do realise this is a bit far fetched, but who knows, it may have some truth in it yet.)