My bosmer assassin was escaping from Cyrodiil (because he failed at killing the wrong kind of person). He decided to start all over in Skyrim; thought the civil war might provide some good opportunitues, so he crossed the border disguised as a beggar, and brought some valuable items with him in a sack. He met the imperials who just had captured the horse thief, Ulfric & co near Darkwater crossing and had a short break. He stopped to chat and joke with the soldiers, to get some information, but the captain was suspicious and asked what was in his sack. He said it was just some food and stuff he'd try to sell, but the captain forced him to open it. And of course, a regular beggar wouldn't be carrying a sack full of weapons, poisons, fine clothes, jewelry and gold. That's why they caught him. (When the captain reported to Tullius, Tullius was like "yeah, whatever, keep him", because he was discussing Ulfric with the Thalmor and didn't really listen.)