So as I'm sure most of you know, once you complete Diplomatic Immunity, the front door to the Thalmor Embassy becomes locked and can't be opened. There are several methods for dealing with this and getting back into the Thalmor Embassy, but the easiest method by far, in my opinion, is shown in the video below by subbookkeeper on YouTube. The only thing you'll need is a horse.
Note that some of the doors inside the Embassy may still be unable to be opened, but you can use the Wooden Plate Glitch to get through them. So why would someone want to get back into the Thalmor Embassy anyway? There are several reasons.
Stones of Barenziah – Before version 1.4 of the Official Skyrim Patch, one of the Unusual Gems was found in Elenwen's Solar, a section of the Thalmor Embassy. In other words, once you completed Diplomatic Immunity, your only chance of completing No Stone Unturned was to glitch your way back in. Patch 1.4 has since moved the stone into Reeking Cave, however.
Kill Elenwen – For whatever reason, Elenwen loses her essential status after the completion of Dragonslayer, the final part of the Main Quest. So, after completing the Main Quest, if you use this glitch to get back into the Thalmor Embassy, then you can kill her.
Thalmor Robes – There are only three copies of the hoodless variant of the Thalmor Robes in the game. One is on Ancano, the second is on Elenwen, and the third is found in the Thalmor Embassy. If you miss your chance to grab the pair lying around in the Embassy during Diplomatic Immunity, then your only options for obtaining them are to complete the College of Winterhold questline or glitch your way back into the Embassy.
Garlic – With a total of 20 samples (18 in the kitchen alone), the Thalmor Embassy has the most of this alchemy ingredient out of any location in the game. They respawn every 10 days.