Well, I've also thought the one about Lydia being his niece, and Nazeem actually being broke, and Ralof & Hadvar being former BFFs.
I guess for some not mentioned yet:
-Balgy and Irileth are more than just long-time friends.
-There used to be domestic cats and rats in Skyrim, and the rats got some strange disease and rapidly evolved into the feral, bloodthirsty skeevers of today, and the cats went extinct during Cicero's childhood but he still references them in his songs because now that he is crazy he thinks they still exist and he can/will "see" them.
-Hilde is secretly a witch and sneaks out of her house in the middle of the night to go consort with Anise at her cabin.
-Uthgerd didn't actually kill that kid: it was just all staged because the Companions didn't want her because Aela saw her as a threat to her position of dominant female of the group.
-When seizing a city, your fellow Imperials/Stormcloaks absorb the souls of the guards they kill, which is why they, as the new guards, still say "I used to be an adventurer like you, then I took an arrow in the knee", and not "I used to be a soldier like you, then we took over the city and I was assigned watch duty". lol.
-M'aiq is a god. He
is a liar when he says he is descended from the old M'aiqs because he is actually immortal and can change his appearance whenever he wants. He is.....Talos! That's why he's sometimes sneakily seen on the road near the same time you see Thalmor walk by. He is waiting for no one to look, then he tells them who he is and attacks them like a boss. xD
-The story of the dragons is based off Transformers, where Alduin is Megatron, Paarth is Optimus, Odahviing is Starscream, etc.
-The Greybeards don't like Ulfric anymore because he used to try to host crazy parties (with girls....possibly Rikke) at High Hrothgar when he studied with them.
-Urag sends spies to the Bards' College so he can keep an eye on their book collection and always make sure his is bigger and better.
-Mountains in Skyrim are large enough to generate a small magnetic field since they have lots of cool metals in them and stuff, and horses are equipped with magnetic horseshoes, hence their superb mountain-climbing abilities.