There are so many that I really can't choose one. But as in Oblivion, the Dark Brotherhood quests are my favorite line of quests. However unlike in Oblivion and Morrowind, every single faction you can join (Mage's College, Bard's College, DB, Thieves Guild, Companions, etc) is fun. Not one quest line in the game that I have encountered that was boring, which makes it even harder to choose a single quest!
Slightly off topic, the best quest in TES is easily the Dark Brotherhood quest in Oblivion where you sneak into a wood elf's house and drop a moose head on the guy. Classic!