Where did you first encounter the cultists? For me it was at Shor's stone during the night. Vilja was talking about her usual nonsense, then I see two figures approaching me from the distance. We exchanged a few words then the fighting began.

Just inside the front gate of Whiterun.

I was almost tempted to start a new character, and get him up to a particular level, and step through the gate to see if I could get the cultists, vampires, orphans, courier, nazeem, Oldfreak patron of the great clam, deathhounds all to appear at once.

Riverwood for me. I was at Lakeview Manor and decided to go to town to do some shopping, with Lydia in tow. They were waiting for me right in the center of town.

My character had just arrived in Whiterun. She was caught off guard, and wearing her street clothes rather than her robes - thank the Nine for potions! The Whiterun guards held her deal with the Cultists, with no casualties.

Just outside of secret door area to Dark Brotherhood Sanctuary (new)