Delvin and Vex's quests weren't very exciting, but I liked the main Thieves Guild quests.
I agree with Blanko about the dungeons. Most of them are just the way he described, imo. I do like the Dwemer ruins sometimes, but besides being a great place to get soul gems, they don't have much good loot. Also the automatons are all really easy to kill, and so are the Falmer.
I thought some of the enemies leveled up with the player. So far the only enemies that still seem the least bit difficult are those briar heart dudes.