If you wish to continue with the murder investigation, your characters commented on the lack of the body at the crime scene (to investigate whether sourcery was involved). The most logical places to check for the body would be the undertaker (behind the King Crab tavern) or graveyard (also in the northern section of town). You can also speak the Jake's wife, the legion commander, and other people who may be familiar with the murder.
Otherwise, explore town, maybe recruit some companions if you haven't already done so, and when you are ready, head outside. The open gate is safer to leave by than ones that are closed and require a guard to open.