First and only time thus far happened on my first visit to Windhelm as I was on my way to find Ulfric. Was actually about to fast-travel since I changed my mind to tackle on another Quest but as I selected to fast-travel to Markarth the corner of my screen indicated that I could not fast-travel with enemies nearby. Was wondering if I did something wrong and the guards were after me but before I could see what it was I hear a single guard shout, "Dragon!" then I see the shadow on the ground as it flies-by and another guard shouting something along the lines of, "Townspeople, get inside!" then like organized madness everyone scattered for their houses and went inside, all except the guards and a mercenary that stayed outside for the fight. The dragon was a Frost Dragon, which has been unusual in my game as I normally get regular dragons and Blood Dragons about 98% of the time. The only other Frost Dragon I fought was the first dragon encounter outside Whiterun which seemed to make snacks out of the guards. Anyways the dragon inside Windhelm seemed to not want to land and kept to the sky or the rooftops of the buildings. After shooting enough arrows and using a few Potion of Minor Healing's the dragon did one final swoop before it crash landed and then the guards all started running away from it for some reason as I ran in and finished it off. Then as I gave the final blow a guard walks up to me and says, "I've been thinking, maybe I'm the Dragonborn." :facepalm: