In the Ragged Flagon there's a note addressed to Delvin named 'A Timely Offer'. Apparently there should be a shipment of glass arrows under the docks somewhere - has anyone actually found this mythical shipment, or have I just been wasting my time poking around the docks?
I found it: Outside the Mistveil Keep Barracks door (labeled on local map) there are 3 barrels and 1 is labeled Thief cache. It has Glass Arrows and other misc items.
To clarify - you have to enter the Keep Barracks, go up the stairs, then out the door to 'Riften'. The 'Thief Cache' barrel is up there.
What they are referring to are the thieves caches in Riften and their location is detailed in this Arqade answer.
The comment by Aquarius Power further points to the wiki pages which basically points out that the container is bugged.