At one point during The Elder Scrolls V: Skyrim's development, there was to be an Imperial City-style arena in Windhelm called the Pit. Quests, code, maps and even NPCs still exist for it in the base game, but it was ultimately scrapped. Through the cut dialogue and quests, it's implied you are jailed and forced to fight for your freedom. Your encounter with the Dark Brotherhood target, Alain Dufont, also took place in the Pit originally. In the final release, you simply face off against him in a Dwemer ruin.
There's only two maps left of the Pit, and you can access them in the console by typing 'coc WindhelmPitEntrance' and 'coc WindhelmPitExterior'.
This image shows the spectator's entrance of Windhelm's removed arena. Standing around are Argonian, Nord, Dark Elf, and Imperial NPCs called "Pit Fan". They were supposed to cheer the combatants on, but don't. Invisible walls prevent you from falling into the actual arena, where cages are kept. Missing textures are also quite abundant on the nearby walls.