I've been trying to use the setessential command to mark NPCs as not essential (thus killable) but certain NPCs remain essential after using the command. These NPCs are: Jarl Balgruuf, Farengar Secret-Fire (or whatever his name is), Jorleif (Ulfric's steward), all of the leaders of the Companions, Sibbi Black-Briar, members of the Theives Guild, and maybe more, but I don't know at the moment. But why isn't the command working? I have the correct BaseID and everything.
So you want to kill Jarl Balgruuf...why? He is like a major part of the story too! But, as ChaseC said, you need a MOD if you are on PC version. I am pretty sure Nexus has one, and the steam store probably does too.
Although, if you want to kill Ulfric Stormcloak, (Spoiler)
you can do the Imperial Legion questline (It takes about an hour) and kill him in the end
Just out of curiosity, have you tried console-killing them? (bring up the console, select them with your mouse, and type "kill?"). I'm guessing they will just fall over, be unconscious for a bit, and then get up again, but I've never really been curious enough to try.
FWIW, I agree with Aceofgods; if you kill essential characters that are central to the storyline, it will break the main quest, and they (Bethesda) probably put some safeguards in place to prevent that.
I'm not sure what you're trying to accomplish by killing them (e.g. do you just want to remove them from the game, or do you want to loot their items etc). However, if you want to do it purely to remove them from existence, you can do that very easily by opening the console (` or ~), clicking on them, typing in 'disable' (without quotes) and hitting enter. They will be removed from existence. And then if you ever want to bring them back, you can do so with 'enable'.