Travelling through the Ashlands (I think it's officially part of the Molag Amur region, but still) from Balmora, across the bridge that passes next to Arkngthand (yes, I had to look that up) and then onward along the path across the mountains from the northern shore of Lake Amaya. It was my first real venture outside of what could be considered "civilised" lands, and it really gave the sense of there being a wilderness far from other people, even in a game with a compressed map size. Quite fun.
Other interesting walks included: A stroll along said northern shore of Lake Amaya (just for fun), the aforementioned Pilgrim's Path and Sanctus Shrine quests, and the walk from the Urshilaiku Camp to the Valley of the Wind for the one part of the main quest.