The first adventure I ran for my group was a jail break. The party was formed as a cell looking to restore the Empire to its glory. They knew of a couple other groups that had similar goals. In the first adventure I ran for them, one of their affiliated cells had broke into a noble's estate and absconded with quite a bit of information, however, their soldier had to cover the thieve's escape and he was captured, tried and sentenced to death in the Gladiatorial Arena. Among the gladiators, it was spread that their was an additional bounty on his head, so everyone would be gunning for him.
The group was asked to see about securing his release either through legal means by reviewing his case or through more subversive means.
In my group this played out as follows:
The party's soldier made up a story of having a personal vendetta against the captive in question and joined the Gladiator Arena of his own free will, stating that this was the only way he could get his vengeance now. He threatened any who tried to take his vengeance from him, even going so far as to kill several combatants that threatened his target. In the meantime, he beat the ever-loving shit out of his target, but always left him alive so he could do it again the next day.
Outside the arena, the rest of the group's investigation turned up that the legal means wasn't going to work, because the magistrate who oversaw the case was in the pocket of the noble who had been robbed. After further investigation, they did find that there was a mage who occasionally collected the bodies of the dead gladiators for reasons unknown.
Armed with that knowledge, they found out when the next pickup would be. On the day in question, they faked the death of their target (the soldier finally decided to "kill him" with a poisoned blade that induced a coma), captured the mage's transport wagon on the way to the Arena, and made the corpse purchase in the mage's stead. Once they were free, they ditched the wagon and corpses and carried their target to safety who went into hiding until he could assume a new identity.
The information packet that was uncovered could lead to the information which would kick start the next adventure, whatever you want it to be. In my game in included the code names of many people working for a Verkonen Collegiate who was advocating dropping the northern half of the Empire.