Are there many? I think I've found maybe 1 un marked cave. Are there any places of interest that do not have a map icon? Shipwrecks, caves, houses? Or is everything in Skyrim already known by books or NPCS?

Back doors aren't marked. That's the main thing I know of.

I found one distraught building that is unmarked on the map. There was some kind of altar that started me on a quest to find the shrine to Boethia .

I found this unmarked cave called "The Chill" north of the College, out on the ice fields.

I've run into a bunch of unmarked camps, shacks, shrines, etc. I can't recall where and when, but they're out there.

Nice, I forgot to mention, way out in the ocean I found a tiny island with a dead adventures skeleton. No loot or anything, but was still kinda interesting to stumble upon. Maybe his story was in a book or something?

Keep em coming if you have more. I love the unmarked places, they're mysterious and interesting!

Some of the books you pick up will update your map with locations... several of them, so if you've read a few 'Explorer's guides'... your map gets updated. Also, if you visit with any of the Stormcloak or Imperial officers inside the various Taverns, and look at the map on the table and activate it, it'll add/update locations as well.

I've found plenty of unmarked shrines, shacks, and points of interests, some of which had interesting or sad stories to them (http://i.imgur.com/vB7Og.jpg). I've also found a giant mudcrab carcass in the plains of Whiterun and a mammoth frozen in the ice up north impaled by huge spears.

.

Ohh that's brutal. I've seen the mammoth, not the giant mudcrab carcass. I'll have to look out for that.

There are lots of smaller unmarked locations and even some Dungeons.
I believe most of those are related to Quests due to certain things that can be found there or in some cases not be found.

I found a puzzle area, with some good loot as a reward. It was unmarked. Somewhere in the Whiterun tundra.

I've started playing without the compass recently and am having a blast. You really need to pay attention to detail more and search around in the environment.
You'll find little special locations like hideouts, camps, ruins and indeed small puzzles.
Wonderful stuff:)

Just found another really far northeast. Skeleton with approx 1k worth of loot surrounding him. Cool find. Seems that the skeletons I've found all have a hand made flag with what looks like an ore as the pole. There's been one at 3 of the unmarked skeleton locations I've found!