I want to get a Windhelm Guard's Shield for decoration, but thus far I haven't find a way to obtain it legally. Can I get it without using console codes or killing any guards?

You could check in the guard quarters. (I'm sure Windhelm has some somewhere.) It will probably be stolen, so it's not entirely legal, but it wouldn't be using the console or killing a guard.

Also, you could try and lead a really tough critter up to some Windhelm guards and maybe it will do the dirty work for you.

If I remember, you can pick one up at the end of the smugglers cave in one of the thieves guild quests. Its sitting on a shelf. Its the quest where you have to shadow the Argonian through the Trading Company. After finishing the quest and getting the information you need, climb the ladder to the right and you should be able to pick them up.

Im in a similer boat, only its the winterhold shield. If you got it plese tell me how.