From the perspective of "I just want to play everything in the game", I like the option of every questline having "A/B branch" choices -- ie., good-leaning or evil-leaning motivations/tendencies to complete them. For things like DB or TG, then, it would be grey, but any character could justify why they are there. I think this option is practical from the perspective of playing a game.
From the perspective of "I really want to Role Play in a way that is consistent and immersive and true to my character's persona", then it would be more authentic, perhaps, to have completely different ways to handle guilds like the TG or the DB -- secondary, fully-developed quest lines to combat these guilds, perhaps.
In the past, like you, I have reached a point where I was tired of just running all the clearly "good" options, so I did do the DB in Oblivion as well -- though I knew I was not really true to my character while doing it, I was just curious for more content. But here in Skyrim I am less comfortable doing it, it just feels even more wrong and slimy.
The TG I think is an inherently "grey" organization. There are kinds of thievery that can be consistent with Neutral/Chaotic Good characters -- Robin Hood types, anarchists who don't really think personal property is or should be anything sacred, perhaps Nords or Forsworn who think foreigners hae stolen what is rightfully theirs. Or thievery can be for outright evil reasons -- the pleasure of disturbing others, brutality, etc. What I don't like in Skyrim, is that the TG is pushed further to the dark side, and that the questline can't be completed without the selling of your soul.