My favorite lines have to be the Dark Brotherhood related ones.

"They say that the Dark Brotherhood is back. That they killed the Emperor. That you.... uh, nothing, sir. Carry on."

Which explains how you can get away with walking down the street in the very distinctive black and red armour.

(Not that my first character ever actually wore the armour. He conducted his assassinations in full plate, with a battle-axe. Because sneaking is for people afraid of guards.)