I was given the Shill job quest to place a gem in Heimskr's house in Whiterun. The problem is that if you have already completed the Stormcloak Rebellion questline, Heimskr's house is gone - it is covered by rubble and does not appear on the map. The Wiki makes note of this and suggests using the console to advance through the quest, IF you are playing on a PC. I am, but while this can "finish" the quest, Vex will not offer you any more jobs when you return to her - the option simply isn't in her dialog. Any suggestions?
I've had the same problem before.
I believe the only solution is to go back to Vex and decline the quest. Then she'll give you something else. Either that, or re-load to a point before you got the quest and hope that she doesn't give it to you again. As far as I'm aware, you can freely reject these quests and ask for a new one until you get one that suits your needs.