Yeah...the quests don't bend around your class. In the Dark Brotherhood, you could play through the whole thing as a warrior with no stealth and just slash your way through everything, but there are bonus rewards for completing objectives in a certain way, usually involving stealth. If you don't sneak through most of the quests, you won't get those bonuses, and you'll probably get fined alot.
That's why I like to have different characters for different purposes in the game. It lets me explore different classes and different parts of the game as well. Unfortunately though, I'm finding the rest of the game outside of the Dark Brotherhood isn't nearly as interesting.
I haven't tried the Thieve's Guild yet though, I heard that was pretty decent. I'll have to do that.