i went to free Gray-Mane at a fort out in the BFE. It said i was supposed to 'find a way to free him' and instead i just killed everyone. I don't think i was supposed to do that.
later on i showed up at Solitude and some law dude said i had a 1000 gold bounty.
I tend to kill first and ask questions later so i haven't picked a side at all.