I'm doing this quest and when I get inside the kitchen and Malborn tells me I can grab my gear (that I gave him) from the chest - it's completely empty. Anyone else run into this? Is this a bug or am I doing something wrong?

I think it's a rare bug. Did you give Malborn gear prior to attending the party? If so, I'd suggest reloading to a previous save if you have one. If you don't it is still perfectly possible to finish the quest and get new gear, but it will be tricky unless you're a decent mage or thief...

They'll be some Thalmor soldiers in the next room. If you can take them down,(or perhaps pickpocket them. I guess it depends on how high your pickpocket skill is) you'll have some elven armor and a decent weapon at the least.

Are you sure it is the correct chest? I seem to remember ( sorry it has been awhile) that when he said that to me there was a chest nearby, but I wasn't even in the correct room...thought my stuff was gone too until I realized I had a bit more to do there.