Do towns have exits at all? I spent a ton of time running north through Riverwalk but couldn't find a way out. Then I did what I should have done at first and looked at the controls and found out how to travel.
I'm stupid, I know.
Or maybe I wasn't in the town anymore. The map is really really bad.
You should know if you're in a town or outside. If you know how to pull the local map up, which I havent played the game in a while so Im not sure, rather than the province map, then if there is a big square around you in the map - then you're in the city. Just keep going along in a city against the wall - or look for a door on the map if you know what it looks like on the wall, and go to it. Once you find the door, it may look a bit short, like it was built for dwarves or something. But then go through there and you will be outside.
And when you are, or if you are outside of the city, you might keep walking and eventually find little cities that dont have a barracks or gate around it. You may find all kinds of different buildings. I personally find it an interesting game - and I have Daggerfall, I just havent really gotten into it yet, because its so big, I dont know where to start off. I did walk for a long time once on Arena, and found this cave in the middle of the water after swimming out into the middle of nowhere. The entrance was odd, but it was a dungeon. And after I got into it, my game froze. =(
So you might encounter little bugs like that sometimes. But something like that only happened to me once, so save often, but not TOO often, meaning if you get into a small cave, then dont save 50 times before some glitch or bug happens, but you shouldnt need to worry about that in Arena, if at all. Just Daggerfall basically.