I find this an interesting idea, and I do enjoy to role play a bit in the game.
However, for me there is a limit. I find personally I only enjoy playing characters that I still find to be justifiably redeemable personalities. When it gets too creepy or evil, I find myself sqirming inside. I have at times gone on to see where the questlines go -- finishing the DB in Oblivion, for instance. But i would rather have the option to be more honorable and still get a lot out of the game. Playing the evil stuff leaves me feeling sullied inside; it lessens me. We all have the capacity to imagine both the good and evil, but I don't think I personally want to feed or nurture that evil imagination in myself too much.
It is an odd balance, doing role playing. Part of the enjoyment is in playing a character that I myself would never actually be or even really want to be -- for example, in real life, the thought of gutting someone or cutting their heads off is abhorrent. Yet in Skyrim as an embattled PC it works to do that. But part of the enjoyment is also playing a character that I can still identify with -- some aspect of who they are lives in me, at least imaginitvely, so there is a vicarious and cathartic engagement with my characters. But when the character strays too far from my core values, then it is not fun any more -- one part of the balancing act is gone, and I am just left with "yuck." So while I could finish the DB in Oblivion, even though it was undeniably creepy at times, it was still not as stark as the Skyrim DB. In Skyrim, I literally have never made it past the shack. Executing helpless and bound prisoners, regardless of how awful they may be, is just too big a yuck factor for me to enjoy.
For the most part, I just want to play good-leaning characters. I want a world where good wins out in my fantasy play. There is plenty of confusion and grey and ugly in real life. I usually come to a fantasy game, so that I can beat up on the evil and ugly, and have good win out. Sometimes it is interesting to explore the darker storylines; but for me that interest never lasts long, before the "yuck" comes in, and I think, "what the heck amI doing this for?" I didn't start playing a game so I could feel more 'yuck!' I play so I can get away from the yuck that is already abundant IRL.