They were all really fun, but Dark Brotherhood takes the cake. Purification was the greatest thing in that game.
Thieves was cool in theory, but it boiled down to stealing bread at 4AM, slowly gaining ranks, then doing long pain-in-the-ass quests at the end. Though GrayFox's helmet is great.
Arena was kind of fun, but I got bored halfway through so I blazed through it on easiest, only going back to hard for the Gray prince.
Mages is probably my least favorite. It had some fun parts, but the suspension was so fucking annoying. Took me like 7 hours to get his god damn herbs to get unsuspended.
Fighters was my 2nd favorite, some of the missions were really fun, and when you got to slaughter that annoying little wood elf...I was overcome with joy.