All of them are pretty bad and could've taken advantage of the whole "stamped out" condition that they're in. However I'm particularly fond of the Thieves' Guild, which doesn't look like such a poorly organised operation, but instead a large and serious task force of thieves and robbers. They're almost like the Assassins of the AC games, or some kind of mafia of Skyrim.
The Companions could've been so much more than what it was, but it failed to do what Oblivion did: tie together both generic kill quests and a really rewarding and emotional story. The Companions fail to bring memorable characters to the table, and the whole werewolf thing was so out of place, I don't know where to begin.
The College of Winterhold was really good though, as it felt like a place of learning, but didn't look it. This is in stark contrast to the Arcane University where it lacked the whole student-tutor feel, and here it did feel like a great tutorial for magic users who want to advance. Sadly most of it was forgettable and didn't know what was going on or why for the most part. Heck, I couldn't even take books willy-nilly from the library despite being the owner.
The Dark Brotherhood disgusted me. The cast was near perfect but the assassinations were few and they acted so weak. The Black Hand organisation in Oblivion was proud and careful, but I suppose when most of your hovels have been found and you're the only one to remain, it's natural to be scared. The world's greatest assassins brought down to lowly rats. I don't know whether to pity the Dark Brotherhood or spit on the writers for that plot.
I can't think of anything positive to say about Dawnguard. But as I'm enjoying Skyrim on a new character (thanks to your questions! ^^), I might just return there later.
The only factions I've yet to try now are the Bard's College and the Empire questline, the latter won't benefit me just yet as I'm in a light armoured character, and their quest rewards are swords and heavy enchanted kit.