With the return of the Dragonborn, they have a purpose once more: to guide and protect Dovakhiin.
Here come game-specific spoilers, stop reading now if you don't want to know:
The first Blades veteran you meet is a tough woman named Delphine. She has some relevant information that she refuses to share with you until you prove yourself as Dragonborn first. Together with her (and perhaps Lydia, your follower appointed by the Jarl of Whiterun) you make your way to a Dragon Tomb and wait there until you see something incredible happen:
Seriously if you don't want anymore spoilers, stop reading here...
Alduin himself, in his dragon form, brings the dragon back to life. They speak to one another in the Language of Dragons, which is incomprehensible to you. Alduin detects your presence and mocks you for lack of understanding of the dragon tongue; he denounces your arrogance at using the name of Dova for yourself. He then flies off, leaving his fellow dragon to attack you and Delphine.
This dragon has a name, and he speaks to you: "Hear my Voice and despair!", "My master Alduin requires your death." This makes me wonder why Alduin doesn't stick around to make sure you're disposed of? In any case, you're lucky he doesn't stick around because this dragon alone is a handful. Green and brown dragons are weaker than bronze and red dragons by the way.
If you succesfully slay the dragon and absorb its soul, thereby killing it permanently so that it can never be revived, Delphine agrees to fess up:
It is only then that she reveals her true identity as one of the Blades, who have since long been forgotten by most. She is almost as clueless as you are regarding what she just witnessed, but she has a hunch that the Thalmor Government is somehow involved.
Subsequently, your next task is not a charge-and-slash assignment, but a covert operation. You must infiltrate the Thalmor embassy as a spy and mingle with the esteemed guests present at a party being held at the embassy. Delphine knows as insider who cannot afford to take major risks, but who can at least sneak you in. Your secret mission is to recover certain confidential files to prove Delphine's theory.
Dress in fancy clothes, take your forged invitation and blend in with the high-end crowd. These high-elves are notoriously haughty, as expected. Rub shoulders with a tipsy Redguard who doesn't quite feel at home either, but showed up for the booze. Let him have a drink on you and you've just made a new friend. If you ask him to make a little scene, he'll gladly oblige by loudly proposing a toast-- that's your chance to sneak into the kitchen along with the insider.
One of the cooks--a Khajiit-- promptly points out that guests are not allowed in the kitchen, but fortunately your guy happens to have some dirt on her: she's been licking moonsugar (which is commonly used as a spice in Elsewyr, the homeland of Khajiits, but is illegal in the rest of Tamriel).
As arranged, your gear has been secretly stored there for you to recover so hopefully you prepared everything you needed to be stealthy and make quick, silent kills...
While searching for the documents, you'll find a prisoner who has been subjected to torture and is all shaken up by the time you get to him. Free the poor man of his bonds, equip him with clothing, a shield, a weapon and he will not only follow you but share some useful information with you.
Find your way out after recovering the files, meet up with your companion if you have one and watch out for that humongous troll by the exit.
