* There are many items flagged as quest-items that remain flagged even after completing the Quest, and some weigh lots (eg 20lb for a main questline item), and can never be removed dropped or sold, causing a permanent loss to your total carry capacity.
Trying not to put in spoilers: I don't know if someone has posted this already, but...that certain 20lb quest item from the main quest can be sold to the College of Winterhold's librarian. Took me a while to find that out, and its not mentioned anywhere, but you sell it to the same guy you talk to for the quest to find that quest item. Anyways, its not bugged and it will be removed from your inventory this way.
I've noticed in my play through that the texture quality in Windhelm (not the Palace) is quite poor. The textures are blurry so I'm guessing they are not loading (scaling?) correctly. This is probably commonly known as an issue, but I've noticed it more in Windhelm than anywhere else.