On my first character I didn't even know about this quest until I was maybe level 20 or 30, well after I completed most faction quests and went back to Windhelm and I guess I missed the event that triggers the quest. I made a new character and am now level 11 and still can't find the event that's supposed to happen at night. Did I miss it again or am I forever destined to not do this quest?

Are you referring to triggering the quest itself or the murder in which you intercede (that occurs toward the end of the quest)?

The quest itself triggers after your fourth visit to Windhelm.
The final attempted murder occurs in the market stall area at night (probably between 8pm and 8am, but I always rest in the inn until 11pm and then go there, and have had no problems).

Okay thanks. I've only been to Windhelm three times I can remember on this new character.

Are you sure it is meant to trigger on the fourth visit? I am sure I went through Windhelm a fair bit before I ever saw the body and crowd in the graveyard. And I ran through that graveyard every time, all hours of the day and night. Maybe a later patch fixed that problem? That was way back last year, and earlier this year. I did it recently and had no trouble getting the quest to start.

A great Skyrim memory from my first play through...

I was in Windhelm to kill Nilsine Shatter-sheild for the Dark Brotherhood and stumbled along the Blood on the Ice quest in the process.

So, in my role play, while investigating the murders, I killed Nilsine, pinned her murder on Calixto along with the ones he actually did and got away not only scot free, but with a big thank you from the city of Windhelm!

I know you have to visit there a few times - I'm saying "four" because that's what the UESP says (http://www.uesp.net/wiki/Skyrim:Blood_on_the_Ice#How_to_Start_the_Quest) - note that a couple of other minor conditions need to be met. But I had often read of people experiencing a lot of bugginess with the quest in the past, too, so perhaps some issues have been addressed by patches.

Its your 4th visit to eastmarch.