Thadgeir in Falkreath and Sondas Drenim at Darkwater Crossing are both suppose to give the Dragonborn a delivery quest each.
Problem is I can not start either of them.

I can't go into dialogue with Thadgeir, just pressing 'A' (Xbox 360) on him and hear him talk random quotes.
With Sondas I am able to speak with, go into multiple dialogues, but the one with the delivering quest does not appear.

Is there something I must do?
Any idea? Its annoying.

Did you just get to town, or are you already doing other quests there? Maybe (just a guess) it has something to do with the thane quest?

You can only have one 'Delivery' type favor active at a time, I think.