In the beginning you are in jail, so how did your character end up there? If you want to include your character's lore go right on ahead or a little backstory won't mind.

As for me, my female Breton, Shahira was in for:

-Murder
-Banditry
-Theft
-Arceny
-And Lollygagging.

Accidentally setting her audience on fire.

Elise was a singer that was going to put her career on hiatus while she focused on magical research. On her farewell performance there was a bit of trouble, and being the action dame she is she decided to lob a few fireballs to help the guards. Then the draqes caught on fire and collapsed...

Her cousin Yannick would've bailed her out of jail had the Emperor not come along.

My CoC murdered his mother's killer.

Some were drunk, some were caught stealing, one killed a spouse in jealousy, a few were framed, one was arrested for vagrancy, one for panhandling, one was a circus performer who was charged with intentionally letting a fellow performer die. One, a psychic, had been trying unsuccessfully to gain an audience with Uriel Septim for months to warn him about a possible attempt on his life and got herself arrested on purpose because she knew the Emperor would pass through that cell.

But most of my characters were not in prison. I either use an alternate start mod or I use my sewer exit save to avoid prison when start a new character.

Ending up in Jail is usually the result of mass murder, accidentally sideswiping a guard or civilian in a town scuffle, or accidentally picking up a Bowl or piece of Bread that doesn't belong to me.

I was arrested for breaking and entering.

Into the Imperial Prison. Because I murdered the real CoC and became him.