I want to play a Khajit just to see how they explain letting me in the cities and not the trade caravans.
Yup. I started to play a Khajiit for just that reason and all I got was: "Stay out of trouble Khajiit." and "What do you want... cat?"
I would welcome a little open hostility from the locals, actually.
Kinda wish Beth made a similar system like Bioware in Dragon Age: Origins, i.e. despite being a Warden, you would still be treated as dirt if you're an elf amongst humans.