Getting your stolen items taken away is kind of annoying, though
You can always break out of jail and find the location to which they store the evidence (mostly to where your stolen items are being held) and prisoners items.
You can break out of jail if.... you can pick the lock without your pick breaking, or you have the skeleton key. Then you have to find the "evidence chests" and get into them without being seen.
The guard in Dawnstar took all my stolen skooma and moon sugar. Now the question is did he use it? I want to see him begging for more the next time he sees me. All for a stupid 5 gold fine for killing a chicken.
They took out the decreasing levels thing so that people can't do what they did in morrowind and oblivion: deliberately go to jail to decrease their skill levels and get past the level cap.
An easy solution: make the next skill increase of a decreased skill not count towards your total experience amount. Tada. But no, instead going to a jail is a good thing to do, saves you 1000 gold and has no penatly.
Yes, go to the ore vein and it will ask if you want to serve your sententce.
Since I've already done that quest I now need to know what happens? Does the game just end and tells you that you need to restart? There would be no way to actually serve the sentence and continue the game at the same time.