If you are pretty far into the Thieves Guild you should know about this. If you happen to get arrested in Skingrad and you want to keep your cash, but don't want your hard-earned skills to drop and you would prefer living to beat the game, or you just like breaking out of jail but having 15 guards on your tail all you need to do is:

Get the Warden Key greater power from the Rune Stone outside Imperial City (it's west of Break Neck Cave, which is south west of the city) or if your illusion skill if high enough, buy or make an open hard lock spell, (or if you are awesome at picking locks, you can take a chance) then get arrested in Skingrad.
Wait for the guard to pass and pick the lock. Then sneak down the hallway to the other end (the end without the door) and activate the "strange candle" on the right. If it isn't to dark you can follow the trail on the floor, but if it is, you'll have to guess.
After you activate the "strange candle" it will open a secret door right in front of you. Walk down the secret hall until you get to the Wine Cellar door. There is another hall that ends in a end. Not really.
There is a handle to the left which will open another secret door. Follow the stains (or walk forwards) into the room with the giant wine barrels.
The door out of the wine cellar should be easy to find, then all you have to do is sneak past the 3 guards on your way out.
Best part? If you did it right you won't get a message saying "your escape from jail has added to your bounty