You can pay the fine, pay half the fine if you are a Thieves Guild member or serve your time in jail. Every time you go into town you should enter into a dialogue with a guard giving you the option of paying the fine or going to jail. You'll need to sneak into the Imperial City Waterfront area to do the Thieves Guild thing.Originally Posted by GepperRankins
If you go into jail you might be able to pick the lock (quicksave/load if you feel like cheating) with the one pick you seem to get and sneak off, get caught escaping and it will just add to your fine or time in jail.
/rambling: My only gripe about the game is that I don't like the level scaling system, fortunately there is a mod that addresses this out already and hopefully there will be some more soon.
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