Thieves Guild! You have to go to, er, somewhere, and encounter a guy in a marketplace to start. I vaguely recall it's NE of Whiterun, but doubtless Toby will know...

There's also a fun quest in... um, a very remote town to the NW corner of the map? I think? Starts with noticing a strange abandoned house in town.

Man, it's been too long since I played skyrim.