When any skill reaches a certain level, they will talk about specific things according to a randomly selected line per skill. Can you enchant my sword? Dull old blade can barely cut butter. Destruction magic is fine, just don't go burning down any buildings. Keep your hands to yourself, sneak thief. So you favor the bow? I'm a swordsman myself. Is that fur... coming out of your ears? I find your wolfish grin... unsettling.
When you launch "In My Time of Need" the guards will mention their curved swords and red guards added onto all of these other races in Skyrim.
I prefer it when they update my map with bandits, dragons, vampires, falmer, etc. in a local area. I also like to hear their complaints on their post, not the "my cousin's out fighting dragons and what do I get? Guard duty." but the Markarth and Winterhold complaints
Markarth - "I can't believe I'm posted here, even the beds are made of stone."
Winterhold - "And to think that I used to complain about my Riften post being cold."
Love being able to speak with them and actually hear some indepth things going on like Aventus in Windhelm and the burned down house in Morthal. However, their dialogue is limited and randomly generated depending on you, your skills, and there's that chance they may mention some gossip or post updates for you.