You know what I just found out that kind of sucks?
On my file I had already done Knights of Nine, which is basically a goody-goody quest. You can't get any infamy or you have to do it over. Well I already finished it. I got all the armor and weapons and whatnot, and defeated the boss of that particular quest.
So, I join the Thieves guild, because I hadn't done that yet. And when I got infamy, I was unable to use the Knights of the Nine armor. I was totally surprised. I didn't think that it would do that if you had already finished the quest.
And I haven't even started on the Dark Brotherhood, either. So I'm thinking that my best bet is to finish Thieves' Guild and the Dark Brotherhood and then redo the Knights of the Nine quest.