Dark Brotherhood is awesome. I've already completed it, but it's got a cool storyline. To get into it, you have to go to (I think) Windhelm (not to familiar with the towns yet). There, you'll find a house that's locked. Go in there, and there's a kid performing black sacrament and you accept his contract (you're not in dark brotherhood yet). I won't go into detail further, but that basically starts it.