It seems couriers in Skyrim always catch you with your pants down. Today as I was fighting Odahviing I was stopped by a courier who gave me yet another "Message from a Friend".
What are the worst times you've ever gotten a message from a courier?
A guard stopped me for committing a crime and before I could pick the "pay gold" option the courier came to me with a message about the Dawnstar museum. The conversation with the courier ended the conversation with the guard so he and all the guards in Whiterun started attacking me for resisting arrest. I died before the conversation with the courier ended