I completed "Diplomatic Immunity", but now need to go back in, to get an Unusual Gem ( Stone of Barenziah). The thing is, the door is locked and I need a key that i don't have of course. I tried the cave, but that is only an exit way. Please ,any help with this?

I do believe the beta 1.4 patch (If you are on PC) fixes this. Try it out.

Alas, you are unable to re-enter...the only way in is if you are on a PC and can use console commands to beam yourself in or turn clipping off and walk through the walls in the courtyard.

Nop , PS3 here, so I guess Im stuck in here. Thanks anyway. Btw ,what do you get for getting all the stones?

Where is that available? Never heard of beta patches being available for Skyrim.

Here is the forum for the Beta update, all the info you need.
http://www.gamesas.com/forum/186-beta-update-on-steam/

Hold on, there's a way to get back in on PS3.

You have to have at least one wooden bowl and Whirlwind Sprint. There's several videos showing how on YouTube and 100% confirmed by me, when I had forgotten to get that gem and needed to get back in the Embassy. Give me a moment and I'll find the link showing how.

Here you go: http://www.youtube.com/watch?v=Fx7HJ5GMX0M

Best wall to use this trick on at the Embassy: http://youtu.be/8BzeEtmlkec

It may take a few tries, but this trick definitely works.

Just tried this. Works great and also got it to work with the other types of bowls in side as well as plates and platters.

Do the Thalmer respawn in the courtyard, you can get into? i beat on them, for fun, and hope they respawn, to take another shot at it, and since my weapon does more damage to elves, i figure a beat down of cocky elves would be fun? week? month ? respawn?