“Do you get to the cloud district very often? Oh, what am I saying? Of course you don't.” - Nazeem. The Elder Scrolls: Oblivion & Skyrim.
Cloud District is the part of Whiterun that has Jorrvaskr, the Temple of Kynareth, and Dragonsreach.
Nazeem holds the key to Chillfurrow Farm, as well as a key to Wintersand Manor, which seems to serve no known purpose.
With the help of the Jarl of Whiterun, I've trapped the dragon Odahviing in Dragonsreach. Odahviing revealed that Alduin's lair is located in the ancient temple of Skuldafn, which is only accessible by air. Odahviing has offered to take me there, in return for his freedom.