You can get this pretty early in the game, as early as your first visit to Whiterun.
Save your game first, going to jail has some side effects you do not wish to deal with. Commit any crime (pick a doorlock, steal from a pocket, molest and get in a fight with someone, whatever...), get caught by a guard and accept the 'go to jail option'. In the cell where they will throw you in, there is trap door in the floor, near the corner where the body of your deceased room mate is lying. Open the grate, go through the tunnels and get the L out of Dodge. Bling, trophy! Reload your game to continue as if nothing has happened, it's quicker than getting your gear back and canceling the undesired side effect of your imprisonment.