This is certainly odd... I tried pickpocketing Jarl Balgruuf's wizard while he was sleeping, but got caught. This time, I decided to have my first stay in prison, just for the fun of it. Picking the lock failed, so I slept off my sentence. As soon as I got out, I see some guy running up the steps to the castle... it's a messenger, and he delivers me 90 gold (after tax), and a letter stating that it's my inheritance from the wizard, who apparently passed on during my jail stay.
What the hell happened? I've looked up his character on the wiki, and apparently he's needed in some future quests. Was it a bug? Do random deaths occur like that? Is my save screwed?