[Jem]

In addition to the 'save often' that every good gamer knows, always ALWAYS save before talking to any NPC so you can revert back if they decide to try to kill you for one reason or another (pickpocketing, spying, asking the wrong question...)

This is also good if you are trying to raise your pickpocket skill as you can go in and steal until you get caught, remember what the last thing successfully stolen was and then reload to pickpocket again until just before you were caught the last time.