I've completed the Arena, Dark Brotherhood, Thieves Guild, and Fighter's Guild questlines. I'll start the Mages Guild Questline tonight. Haven't even done the main questline yet but I will after I finish the Mages Guild. Then I'll move on to the Shivering Isles.
I did all that with my first character in Oblivion too. And its one of the things i changed for Skyrim.
Each character I made was designed for 1 or 2 specific guilds. I wouldn't do the mages guild with my sneaky character, etc. Also my main fighter character had moral issues with committing crimes, so I didnt do any side quests that required me to kill or steal things.
I thought it was much more "realistic", and I really enjoy making new characters so it was awesome.