In my opinion, finishing ALL the sidequests with one char robs the fun since you cant be a jack of all trades you now.
Doing Thieves guild with a mage isnt half as fun as it is with a thieve
I've got a Breton Mage specializing in alteration and destruction, a Dunmer sword/shield/light armor (no magic at all), A khajit assassin with a pair of scimitars, a heavy armor conjurer Imperial with a warhammer, and a mace wielding Nord Stendarrian that uses restoration and illusion, and is a hell of a smith (but only enchants "holy" weapons).
I've done the college quests and part of the main with the mage ; the stormcloak quests and most of the main with the dunmer, the thief/black hand quests with the khajit ; the imperial and companion quests with the Imperial conjurer ; I've been just wandering around emptying every barrow I could find with the Stendarrian, and started the thief quests with him.
I like variety
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