I've worked out a plot line that allows me to experience all of the games content (sans the main questline) and dlc in a manner which accounts for role playing.
I start out as a poor citizen of the waterfront who was thrown in jail for petty theft. I join the thieves guild and rise through the ranks. On the last thieves guild quest I kill one of the blind monks. THe dark brotherhood visits me and I join. When I'm done with the DB content I regret my life of crime and murder and become a pilgrim of the nine(knights of the nine dlc). I finish the KoN dlc and thenI join the fighters guild, while doing the fighters guild I compete in the arena.When I'm done with these two things I generally have loads of cash. SO I become a rich and influential nobleman and decide I'll try my hand at the arcane arts. SO I join and finish the mages guild. WHen everything is complete I hear rumors of a strange door that has opened in Niben Bay. And on I go to the Shivering Isles.
During each guild I use the individual houses that go with each guild. (pirate cove thing for thieves, deepscorn for DB, fighters stronghold for fighter guild, wizards tower for mages) and during the Dark Brotherhood at some point I would go get Mehrunes Razor.
Problem is I haven't been able to do this completely yet.