OMG if you haven't already PLEASE go to Falkreast and do the lost dog quest. WOW.
Who triggers it? I went through that town and there didn't seem to be much going on.
A guard at the front gate mentions the dog to you, starting the quest. I came into town from the east, if that helps.
Also how do I start the Dark Brotherhood and Thieves Guild? My next mission is to see the greybeards or some shit
Go to the orphanage in Riften and talk to the kids, they'll mention one kid who ran away and talked about joining the Dark Brotherhood. I haven't gotten to where this kid is yet, but I'm pretty sure that's what will get you started.
Also in Riften, you'll meet a guy named Brynjolf who will offer you a job of dubious legality, complete it and he will introduce you to the Thieves Guild.