Alright, so I always thought it was stupid for the hold guard to say things like "Go fiddling with any locks around here, we're going to have a real problem" or "I find your hand in my pocket, I'm going to cut it off" or "Hands to yourself, sneak thief", which is one of the reasons why I never really played as a stealth hero.

But honestly, there's a load of quests that require opening locks in order to progress(now I'm doing the Deathbrand one, for example), plus the skill books, eventually my character will get over 30 on lockpicking and I'll have to deal with that stupid nonsense dialogue, a total roleplay killer.

Not to mention that there's no way someone could possibly know you're experienced at lockpicking or sneaking, specially if you're not even a thief and has no bounty on your head, but just a stealth hero.

Why does Bethesda has to put such unnecessary roleplay killers?

Who knows.

I hate when they say they don't fancy two handed weapons, yet they have a Warhammer on their back..

With the new Legendary Skills mechanic coming in patch 1.9, you might be able to address this somewhat, but you'd need to max the offending skills out first. Once you do that, revert them, and they go back down to level 15, the guards shouldn't make those quotes anymore.

This just happened to me and I laughed for a full fifteen minutes.

Just pretend that the hold had a weapons shortage and those guards were assigned weapons that they would prefer not to use if they had a choice.

Yes. Sometimes their comments can be rather stupid but I just run around them and shout them off of the Whiterun cliff and they don't care because they are all Stormcloaks. Makes me happy.

But what if they aren't given a choice in weapons and are assigned them?

A guard might like one-handed swords but due to weapon shortages he gets assigned a warhammer instead.

Well I'm the OCD type of player and I want everything to be as perfect as possible and never getting out of my role(currently as a mage), so hearing those comments from hold guards really makes me tic. And although I'm playing as a mage I enjoy wearing armor because it looks much cooler than any clothes, I like both the skaal and stalhrim armors, but it gets me to the nerves when guards say "Lightly armored means light on your feet, smart" when I'm obviously wearing a gigantic, bulky heavy armor. Bethesda really should improve their dialogue, or just simply remove it.