I like how if you play a khajiit, he says "Welcome my Khajiit friend." When I was playing a Khajiit, he was the only furless one I did business with in the hold.
On the flip side of this, I had a Khajiit that I was playing and I had to take the horse and cart to somewhere. As I climbed in back, the driver says:
"Ever seen one of those cat-people? Ka-jit I think they call themselves. Heard there's whole countries full of them down south."
I always imagined my Khajiit Assassin looked at him, slowly cocked his head to the side and said; "Look at me again, but very carefully this time, [censored]."

Instant death sentence as far as I'm concerned!! Weather or not that guard is in the back pocket of the brotherhood,
YOU DON'T ADVERTISE IT!!!!!!! 
so I shut him/her up as fast as possible. " Loose lips sinks ships "

Exactly.
I've never been so quick to kill a guard in all my life.

I don't care if you are in good with the Dread Father. In my line of work, secrecy is kind of paramount... and I don't need morons blowing my cover wide open.
So usually, it plays out like:
Guard: "Psst, hey! I know who you are..."
Me: *slices throat with dagger* or *-twang- as arrow hits his throat*
Guard #2: "Halt, you've committed crimes agai-"
Me: "Yes, I'd like to pay my fine now."