The gear rewards in Dark Brotherhood quests aren't that great, so if you want to come back and do repeatable content there it won't be a loss in gear quality. This is not to say that the great is TERRIBLE, I just don't see anyone using Sithis equipment as BiS, pretty much ever. Thieves Guild actually offers some pretty cool gear in its line up so I personally would consider holding back on doing that, but then again I like the Bahraha set. Orsinium has a lot of repeatable content where you can acquire some good gear, so I wouldn't worry too much about that either.

You might want to play one character with your friends in these zones, and another to run the story content normally. There is something to be said for running the base storyline on a character and just enjoying that. The real truth though is that the answer you want depends a lot upon what you personally like. When I started the game I levelled from 1 to almost 40 in Cyrodiil the first time around. I then went back with that character and did every storyline bit I could find from Auridon to Coldharbor. My personal desire is to suck out every bit of enjoyment I can get out of the game, and I happen to like story, pvp, even dungeoneering when the mood hits me. The real question is what do you like? There's no real harm in doing the DLC quest, but like I said you get purple loot boxes from doing the storylines. It can all be reacquired though from doing repeatable missions though.

The DLCs are best after the content, simply because you will have enough skill points to invest in the passives from those DLCs.

I would wait on Wrothgar until you have reached CP160 or so. By then, you will start to see a fall off in exp if your battling over leveled mobs (basically the first two zones of Silver which is when you go off and do other Alliance content when you finish your own). Wrothgar is great for earning experience so you want to save it for when it will do the most benefit, which is post 160. This way your using the lower and middle level zones when you get the most experience from their content.

Thieves can be fun and of the DLCs, probably the one to do the earliest, especially if your going to do a lot of crime (although you don't need any TG passives to be an accomplished Thief in the game)

Also, TG and DB will send you back to Zones you did for the Alliance content, and if you have unlocked Silver and Gold content, then you have more places to be sent to for those jobs.

Thanks all