Oblivion Question: dark Brotherhood or Knights of the Nine?

So I started the game over because my memory was lost, in the previous save I was in the Knights faction. But now I accidentally killed someone and so called Dark Brotherhood wants me in. Which is more fun to go with? my friend says Dark Brotherhood but Im not sure? Oh and which one is more rewarding overall?

You can be both Listener of the Dark Brotherhood and Grand Crusader of the KotN.

but then I would have to do pilgrimage all over again everytime I do a Dark brotherhood mission, which is a pain finding all of those altars

Do the dark brotherhood faction quests before you start the Knights faction. The pilgrimage quest will wipe out any infamy points you get from the brotherhood quest. Unless you've completed the thieves guild, if that's the case then just make sure your wearing the cowl whenever you complete a dark brotherhood quest.

Dark brotherhood.

will the guards be after you if you kill people for the factions?