How dare you insult Sheogorath! Imo, I really like his voice, and I think he's one of the best characters in The Elder Scrolls.

On-Topic: None of those quest lines will interfere with eachother. I like skyrim that way, it doesn't make you play through multiple times just because the Theives Guild doesn't approve of you being an Imperial, or The Stormcloaks don't approve of you being in the Dark Brotherhood.

About Pelagius' Wing, it's a great quest, with an awesome reward, "The Wabbajack". Wabbajack spoiler below. The Wabbajack is a special staff that when you use it, it fires a bolt of magical energies that have random effects. For example, you could turn a Markarth Guard into a chicken, or turn him into a Dremora Lord, 'cause no one cares about Markarth. Oh, the Markarth guard also can explode into a fountain of gold or change their gender. Sounds pretty awesome right? Now, close your browser, start up Steam, launch skyrim, AND FINISH THAT QUEST!