In the third mission you do for the dark brotherhood you have to kill Valen Dreth. You can only do this part going through the sewers but you don't have to leave that way. After you have followed the map marker all the way to Valen Dreth by sneaking or running past guards kill him. Then go to the table at the end of the corridor (opposite end from the stairs) and pick up the key that was beside Valen Dreths cell key. Then go to the other end of the corridor and go up the stairs and through the door. Then you enter a small room. Turn to your right and go through the door back to the imperial city. And there you go your back into the open. It's much faster than going through sewers again.
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