Gosh, I'm not sure I can help much since which quests are 'truly worth doing' is so very subjective. My character tends to take an approach that focuses on the journey more than the destination or 'beating' quests, so she can make hunting for stolen potatoes a blast.
Umbaccano's quests are kind of interesting. Depending on you character, I find the Thieves Guild questline to be a sweet love story. I like Caught in the Hunt for its fun concept. I adore helping Mazoga the orc (once you get to know her). I find Sanguine's shrine loads of fun. Azura's shrine is a fun challenge. Again, all of this is subjective. If you have done quite a few of the side quests and don't find much fun there, then I suspect you may be done.
There are plenty of ways to increase the challenge, and many of those ways do not require PC/mods - simply choose to limit what your character can do/use or bump the difficulty slider. Maybe start a new character designed to provide more of a challenge?
On the rewards, it just depends so much on your character. The only quest item my character wants in the whole game is Azura's Star. Even that however would be somewhat useless to a pure (no melee) mage. Just like the holy warhammer of awesomesauce would not be of much interest to a swordswoman.