If you don't go for Imperials or Stormcloaks right off the bat, then which faction do you go for first? (If you do go for Stormcloaks/Imperials first, vote at this poll.
The best thing todo is start the dark brotherhood line after joining the church of Talos, get a lot of gold from killing dragons, dump it into the church, then finish the dark brotherhood line. Talos don't give a fuck.