Same here, I've done all the Thieves Guild quests first intermixed with some other quest (even main quest). Now I wanted to continue the main quest and realized that I never got the Cornered Rat quest form Delphine. Decided to look Esbern up without anyone telling me to (Brynolf won't talk to me any more and Vekel has no quest related questions/answers).
When I knock at the door the hatch opens but immediately closes. Still no quest...
Oh: and I found this bit online: http://www.uesp.net/wiki/Skyrim:A_Cornered_Rat
Bugs: There may be a glitch in which if you are halfway through the thieving guild quests, then you will not be able to continue the quest as there are no dialogue options for Brynjolf. (Xbox 360- No Solution found)
>I've done questionable things.... Nothing the god of bio-mechanics wouldn't let you in heaven for.