"Circus of Cheerful Slaughter," the level 25 Mages Guild quest, is by far the best built and executed quest, from a writing perspective, I've played thus far in ESO. For a Sheogorath production its pretty cogent, and raises interesting questions about the nature of the Mages' Guild and the minds behind its key members.
Be sure to explore the entire grounds to pick up the side conversations.
This quest is a nice break from the racism-driven storylines in the zone PvE quests, which get a bit anvilicious after a while.
Nice job Zenimax, looking forward to more!