As a character playing a (good) Dragonborn, burried either in Whiterun or somewhere at the Throat of the World. And I want to have a nice dungeon with me at the end. Not too big, I want visitors to come and be sad at my body, living to go back whereever they came from and tell their friends.

My stormcloak character will go for Windhelm. Just a simple grave, because he is a simple man.
My mage/scholar but not much of a fighter unless necessary will either die in a dungeon and left their, or taken back to whereever I'll have a home by a follower. If I get burried I want a nice, big, family grave, with a staircase and a small dungeon which includes rooms for the dead which will not live again, though. His room will be full of books, including first prints and other rare editions. The room will be sealed forever! Maybe he will start a great library in life and get burried there.
And the Redguard who's ancestor has taken over most of Cyrodiil? If he's succesful and conquer Skyrim he'll get his own, huge Mausoleum, filled with treasures and my personal belongings, somewhere on a high mountain with a great view. If he fails he'll be thrown into a nameless grave or let to rot and be eaten by skeavers in the open air...
I also still want to make the most powerful sorcerer ever, which will be a rather evil man. He won't die, and if he does, he'll live on, either as a formless spectre in search for his body or he'll go parasite, taking over someone's body and using it to recover his own body, because only in his own body he can get as strong as he used to be before his death. Men will go look for my body, to destroy it. But they won't find it, and if they do, they won't survive. They will go crazy. Completely crazy by all souls died by my hand. Only he shall be immume to his enemy's souls, hopefully...