While playing a character regardless of race or specialization these are for me the toughest choices

1. Dawnguard side. On xbox so things that i miss if i chose vamps are best xbows, black cowls, companions. If i chose dawnguard you lose out on cool rings, turning people and random dawnguards attacking you which just for me adds one more random enemy
And they can add a fun wrinkle in outdoor battles

2. Destroy the dark brotherhood. You lose a lot to do this but you do gain unique armor

3. Side with Erandur. Gain a cool companion but hurts losing a daedric artifact and hurts if y0u roleplay as a evil mage/character type. Yes itd weak but still cool looking

4. Imperial or stormcloak. I usually play nords as i feel that in skyrim they are easier to roleplay and you get the most immersive experience. Problem with stormcloak is lot of friendly npcs in whiterun etc get punished for losing

5. Nords or rieklings

6. Marriage and adoption.