I recently got skyrim for the PC, just the vanilla game so far. No mods, no DLC although I think it is the latest version (patch wise.)

Anyway, as I was walking through Whiterun I noticed something was off in the wind district. No Heimskr! well he was there, but he wasn't preaching the word of Talos. It just doesn't feel right without him doing his thing and I really don't want to start a new game. Any way I can fix this?

I consider that a good thing, though if you're on steam you can probably fix it by validating the cache.

He's made up his mind. He's keeping his baby.

Heimskr may sometimes just disappear and never come back. It has been reported that after 2 days he may come back.

or

Possible fix: use the console command player.placeatme 0001A682 to spawn him back.

Looks like the Thalmor got him.

I want that bug! Can you engage him in dialogue?

This is a known bug that currently has no solution. [http://afkmods.iguanadons.net/index.php?/tracdown/issue/13247-heimskr-not-preaching/ bug report]

Some people have claimed that after engaging in conversation with him he may start preaching again though.

Someone put out a hit with the dark brotherhood.