During the quest for initiation into the Thieves guild, the one where you have to steal a ring and reverse pickpocket it onto a dark elf, I went on a stealing spree in that small market. Opening every lock I could and taking everything that wasn't nailed down. Later, as I'm fulfilling a contract for the Dark Brotherhood, bow drawn, poisoned to strike, a 3 man squad of "Hired Thugs" attack me from behind. I was able to kill them, but upon examining their bodies I grabbed a contract and read it. Apparently they'd been paid by Grelka, the armor merchant in that market from earlier, to kill me.
I wasn't caught when I stole this stuff either. I was able to talk to and barter with every merchant in the market with no issues whatsoever. But apparently somehow she found out. Just a warning to potential thieves, keep your wits about you.