I came across Thalmors killing Stormcloaks. As I walked up I was told to walk on by. I didn't, I was attacked, bad mistake now they're all dead.
Is there a penalty?
Anything waiting for me further on.
Am I on some wanted list?

I really enjoyed killing those arrogant bastids

Nope,but some Thalmor's will ambush you like Hired thugs.You will find a note on their Leader asking to kill you.

They swung first?
Self-defence on your part. Loot their pasty corpses and profit from their arrogance.
Check your journal. Under combat you'll find Assaults and murders.
Clean and clear?
Punk 'em every chance you get, imo.

Additionally, free every prisoner; even if you're pro-empire.
1. Freeing the prisoner is not a crime.
2. Once done the guards will, indeed, attack.
3. Defend yourself (not a crime), then loot even more corpses for their arrogance.

The escorts of prisoners, Thalmor and Legion alike, are easy gold mines of lootable gear.
Play your game...not theirs.

If they attacked first there's no direct repercussions except maybe they put a contract out on you. If you attack them, like I did on the road outside of Whiterun because they punked me off, it's a crime and guards will attack you.

Thank you all.
Thalmors beware, the hunt is on.

Don't assault your betters. Stop worshiping Talos like good little citizens and everything will be fine.

It's a good thing they're just Thalmor, then.

I kill the them every chance I get, even though I support the Empire in the civil war. Their big heads make them easy to hit.

Thalmor are to be hunted like dogs. The Empire actually supports this but not openly. BTW Ulfric is a hypocrite and actually a tool for the Thalmor so don't be a tool by joining the Stormcloaks, you are only doing the Thalmor's bidding if you do.

One of the greatest joys in game is the systematic killing of Thalmor.

True, I attacked a couple of them near Solitude for mouthing off to me. Next time I walked into Solitude I was immediately accosted by the guards and I had a 1000 bounty for "murder". From now I on I will be freeing their prisoners so they attack me first.

Thalmore scum. They should stay out of the Empire's affairs!

Problem I had was that it was just a Justiciar and a couple dudes in armor. She called me an insignificant lesser some such thing and unfortunately there was no dialog option to tell her to F off, which is disappointing. I couldn't goad them into attacking me so I just attacked them.