i have encountered at least 5 roads leading to you kissing an invisible wall, they could have at least made a sign saying "danger, under construction, turn around".
That same wall is there when you swim out in the water north of the Mages College, even though you see icebergs and little islands of in the distance.
Usually it says something like, "You can't go there."
But my 3 characters have been to all the borders and tried to get beyond that invisible line, but no luck. Did find some interesting dungeons/caves/forts along the way.
Most interesting place I've found was something that looks like a swiming pool diving board, except it was a few thousand feet up in the air, over a pool of water. You're supposed to jump down, and if you survive you meet someone and get a +1 to Speech skill - have to wait for him to tell his story, though. Hint: There's a dragon shout that will help you survive the plunge.
I also keep finding dead bodies of NPCs (non-essential, of course), with their weapons floating in the air.
Around Helgen, twice (at night) I've seen a ghost NPC riding a ghost horse - and the NPC is headless.
I play 3 different characters, in one of those games, a boy has been standing at the "intersection" in Riverwood for almost 6 weeks (our time, not game time). You can talk to him (a little) but he won't move. Also, one of the girls has been standing by the bed rolls/camp fire just outside Riverwood for the same amount of time.
Also found two shipwrecks - although that's not that unusual I guess, but still interesting.