I'm now a Thane in Whiterun - I was caught picking a simple lock in an inconsequential area and I was able to pull rank and tell the guards that they should remember who they're talking to, and they told me that they'd let it go but that I should be more careful.

Is that just talk, or can I get away with things repeatedly?  

I'm guessing that I can't murder people and then claim diplomatic immunity, but can I *always* get away with low level crimes like picking locks or pickpocketing?  

Is there a (daily?) limit after which I'm arrested?  

Does it matter *which* guard sees me?

Aspiring supervillains want to know.