Just recently the unidentified friend who sends anonymous letters to you has made me slightly uneasy. Don't get me wrong, I am certain they are a genuine ally, although who's to say that a low level nooby dragonborn knows that? The most likely candidates are one of the Greybeards including Paarthurnax, possibly through a middleman considering the courier would be unlikely to neglect to mention being contacted by a dragon or going to High Hrothgar. However neither the Greybeards nor Paarthurnax mention it to you even in passing, and the Greybeards send you on shout quests anyway. It would seem pretty redundant on their part to do something like that. For the same reasons it couldn't be one of the Blades because Esbern doesn't know you are the Dragonborn and Delphine sends on her own test to find out anyway. Again redundancy is unlikely but I could imagine Delphine doing something like that. However she also doesn't mention anything like sending you letters anonymously through a courier either, nor does she seem to be anything along the lines of an omniscient watcher like Santa Claus, otherwise the entire second act of the main quest would be completely pointless.
And who are the enemies he/she warns about? The Thalmor seem to be the go-to boogie men for conspiracy theories and they usually bring it upon themselves anyway. I cant lay my finger on it but somehow they just seem a little out of place this time. Maybe its been a hint at the Dragonborn DLC all along?