The topic pretty much describes it, what i'm wondering is if it's normal that I got attacked by a frost dragon IN Solitude, it's the first time it happens to me.

Yeah its normal.

Yeah dragons tend to do that. Walled cities are not safe, but are less likely to be attacked then, say, Winterhold.

Yup, completely normal and quite intense to see citizens get tossed like rag dolls, and I aint talking about the physics.

I thought it was pretty awesome! I led the battle against an Elder dragon from the battlements of Castle Dour, launching arrows alongside my fellow legionaries as the dragon circled overhead. When the dragon landed in the courtyard, I leapt over the paraqet to deliver the killing blow.

The only time I've ever had a dragon attack a city was when I was already in combat with one outside a city and I ran inside. Every time I see a hawk's shadow in Solitude though I nearly piss myself.

Yep, had one inside Whiterun. nowhere is safe!