The Blades is an organization committed to slaying dragons. They prove to be an instrumental part in aiding Cock Nibbler early in the Main Questline.
After delving deep into the Nordic ruins, Cock finds a note from "A friend" telling him to rent the attic room at the Sleeping Giant Inn instead of the horn. Cock arrives at the inn and asks a lady named, Delphine, if he could rent the attic room. Delphine tells Cock that the inn doesn't have an attic room. Cock has an over the top reaction and yells in the inn (so that people get the message) that he was told to rent the attic room. Later, Delphine reveals that she is part of a group looking for the Dragonborn and hunts Dragons.
Esbern enters the story after Cock finds victims of a drive by shooting and loots them. One of the items in the loot was a letter addressed to a Thalmor stripper and mentions Esbern.
Cock goes to meet Esbern, his old homeless friend, in the Riften ratways. At first Esbern does not notice Cock Nibbler. Cock reminds him about the good old days of being homeless with his pal Esbern but after speaking for a while, Cock mentions Dragonborn. This seemed to jog his memory. Esbern and Cock fights Thalmor agents to get out of the ratways and visit Delphine.
Cock introduces Esbern to Delphine but he realizes that they already knew each other somehow. At first Cock thinks that maybe Delphine was homeless once too. However, Cock later realizes that Esbern and Delphine met at a job. In fact, he got a job at the blades protecting the empire.