Not really a Quest, but the execution of Roggvir in Solitude - It frustrated me and pained me that Roggvir, a townsperson who most people knew and liked, was going to die for unfair reasons. Even worse was that all the townspeople, who probably got on well with him and were all nice and neighbourly, were all there, cheering for his death. One of the most painful bits, though, was the little girl (I can't remember her name) wondering what was going on and leaving without knowing that she'll never see her uncle Roggvir again. I wish there was something I could have done, but every time I intervene, he still dies.
Roggvir was actually a nice person, but that doesn't make his execution wrong or unjust. He let a guy walk into Solitude, kill the High King, and let him walk right back out. That's like letting someone kill the President of the United States and then telling them to have a nice day as they walked away from his corpse. He helped Ulfic because he was a "True Nord". Screw that. Are "True Nords" racist to any that aren't Nords? And the Thalmor are just as bad. I can easily see Ulfric Stormcloak and the Altmer having a tea party with Adolf Hitler.