The only thing that disappointed me quite a bit was when Martin sacrificed himself to save the world. It wasn't the "Turn into the giant dragon to kill the giant demon" bit - that was quite good - but it was the fact that it was such a stereotypical thing to do. I actually thought that Bethesda might have done things more uniquely (your character NOT being the main character/hero was a excellent idea), rather than just doing the whole worn-out "noble sacrifice" plotline which has been done to death in novels, games and movies.
Even more so, it's the fact that the "majestic" feeling ran out for me around at the Main Quest "Spies". The Cloud Ruler Temple introduction was *very* well done, but after that it decended into "Well, we need three extremely rare items which are conviently hidden in deep dungeons, go fetch". The Paradise quest was very well done, but the fact that Martin chose only you to accompany him to the Imperial City kind of killed it for me. I mean, come on, here's a temple full of elite soldiers who had their last charge killed due to their ineptitude, and yet they don't even volunteer to follow their current charge as a honour guard ?
Apart from those two though, and the fact that you only earn 200 gold a week as the highest Dark Brotherhood Representative, the game was excellent.