The Thieves Guild.
In Oblivion it was the Dark Brotherhood by far. And to be honest, that's why I am a bit disappointed by the DB in Skyrim, I really hoped to set up kills so they look like accidents again, or try to get my bonus by not letting anyone see the murder, that kind of stuff. Don't get me wrong, the DB is still awesome in Skyrim, but this time around, Thieves Guild impressed me a bit more.
It's probably a split between the Dark Brotherhood, the Dawnguard, and the Volkihar for me. DB has some nice armor (Now that I've installed a mod to rid my Skyrim of gimp suits [Don't google that, kids]) and a pretty interesting storyline. The Dawnguard is like shields and heavy armor and crossbows and restoration magic, all of which I'm down with. The Volkihar have two epic rings (The Magicka ring is more epic, unfortunately) which continually tempt me to join them.
Vileo Sufora which mod is that?
Love the thieves guild. Just seems to have a bit more substance than most of the other guilds. Love the 'one man crime wave' feeling of the side missions and the way it takes a bit of effort to earn your way to the top. Several other factions seem way too short in comparison - 'oh hey there newcomer ... would you like to be our new leader?'. Also Nocturnal is the only daedric prince that gives you a feeling of some danger in dealing with her - you feel you are making a pact that your immortal soul could come to regret. Most of the others just throw an artifact at you and let you get on with it.
I have to go with Dawnguard. I like their characters and their cause, and they feel like a guild. Thieves Guild would be second choice, but I don't identify with their cause much. Kind of the same with the Volkihar but there's also no real support from them; just a place to live and quest givers.