By completing all of Wrothgar you get some cool costumes. If you do the ancestor tomb quest in Vvardenfell you can get a housing item that is a giant 3d textured map of Vvardenfell.
Rhaegar Gregorson, The Ebonheart Centurion - Imperial Dragonknight RABIDxWOLVERINE - Xbox One, NA, Ebonheart Pact
You can get a Dwemer spider pet from finishing the public dungeon in Bangkorai.
Also, there's a costume you can get from gathering the pieces for it in the northern-most public dungeon in Vvardenfell. (Morrowind expansion.) It's a big grind, though, since the pieces don't drop very often. They drop from the mobs in the dungeon.
And there's a Dwemer pet (a robot-looking thing) you can get by gathering the pieces for it from the southern-most public dungeon in Vvardenfell, similar to how you can get the costume I just mentioned. The pieces drop from the Dwemer construct mobs here.
As Wolverine said, there's a big achievement in Wrothgar (Orsinium DLC), where you can get three costumes if you complete it. It's a huge amount of work, but worth it.
And the Thieve's Guild and Dark Brotherhood DLCS reward costumes as well, if you complete them.