So this one isn't really an option like the Cicero question earlier but it does raise a good idea.
If you were given the option would you join Mercer Frey in becoming rich beyond your wildest dreams, or will you do the 'honorable' thing and help a Guild of Thieves return to it's former glory, leading to more stuff stolen and really worse for the people of Skyrim in general..
So Mercer Frey or the Thieves Guild, or Nothing.
Personally, the Thieves Guild is deeply valuable to me. I guess it goes back to my earliest days of playing Skyrim; theirs was the first guild that I ever joined, and I've had a soft spot for 'em ever since. They all feel like good friends of mine, you know?
That said, after what Mercer did to my player character, all I wanted to do was kill him. And hearing Karliah's account of what other damage he did to the Guild certainly didn't help matters. Sorry Merc, but you let your ambitions get the better of you. Exposing you to the Guild and Fus-Ro-Dah'ing your sorry butt off of the Falmer statue was immensely satisfying.
You aren't forced to worship Nocturnal at all; in fact, Karliah tells you that Nocturnal doesn't care for worship. All you're doing is simply selling your soul to her, and that seems appropriate for a thief to do. After all, who cares about things like "your soul" and "the afterlife" when you can get super rich? :P
It's the same as in the case of Miraak. I'm not gonna get stabbed and spend all my time trying to unravel his plans just to join him in the end. Now, if he made the offer during the quest in Snow Veil Sanctum, then I'd consider it (and I'd definitely have a character who accepted). But honestly, I never liked the guy. His voice is kinda annoying, and his attitude is insulting. He's just written really well as a bad guy, and he's definitely the follower type; you'd spent the rest of the game as his subordinate.
Why should I join a dude that shot a poisoned arrow at me and cursed his entire guild and killed his previous leader? I'd rather 'protect' the twilight sepulcher (something you actually don't have to do) and have the amazing powers and the most awesome looking armor in the game.