For my current RP game as a merchant sent to Skyrim to re-establish trading to Cyrodiil, three of the quests require I walk with the Khajiit caravans. I've managed to do two of them, and if you've ever been curious:
Whiterun to Markarth caravan: takes 45 real time minutes.
Riften to Dawnstar: takes 1 hour, 35 real time minutes.

Interestingly enough, as I was walking with the RtD caravan, I saw the Windhelm to Solitude caravan as they were making tracks off the road on our way to Dawnstar. This will prove to be an interesting walk, as I had always assumed they stayed on the main road. Even on our way to Dawnstar, the caravan took a quick off-road path which showed me a faster way to Dawnstar. LOL. I never noticed the path in my 1000+ hours of gaming.

So, have you ever followed the caravans or did you think it would be too boring to do?

I thought it would be boring, considering the painfully slow pace of the group, but found it rather exciting, especially since there's always something on the side of the road ready to attack. Just an FYI: if they see the typical enemies, they'll attack, but if that enemy is after you (thieves, DB assassin, etc.), you're all alone. They'll stand and watch to see whose body they'll be... uh... yeah, not sure how to describe this scene other than "caressing".

I would probably do this, if there was a reason to. Like a specific quest or something.

Random thought somewhat related to Khajiit caravans - I never did accept the Khajiit follower, even though he was bad ass. Didn't accept him simply because I felt it would be wrong to separate him from his pack. I really, really wanted to keep him though because how cool is it to have a Khajiit follower? Maybe next time I play Skyrim I will separate him from his family and take his offer to follow me

What fast route did it take to Dawnstar?

If I recall correctly there is the one through the Ancient nord ruins and then the path with the skeleton and shrine.
The other two paths are very open.

Is there another one in between there?

Well I've always been a "walker" in TES games. I like taking my time, and rarely fast-travel.

So far as the topic goes, I've tried to follow the caravan several times with a few different characters. I really love the idea of travelling in a pack like this! But (depending which character it is) I usually get distracted, and wind up going down some path I've never seen before, or getting in a fight, or whatever. The khajiit are fun to walk with though. I love watching their tails swing, I also never get tired of the statements they make.

I admire your dedication, Eve!

Is there an actual quest related to following the caravans, or just something you did?

It was past the road to Winterhold, on the right. There's a separation in the trees, which is a foot path. They took the path, which cuts back onto the road to Dawnstar without having to "curve around" the road if you stay on it. I would guess it shaved 10 minutes real time from their trek. I know it's quite fast on horseback now.

It's called Role Playing! No, there isn't an actual quest to follow caravans...

It's all good. I've done some interesting RP things as well.