Let's just say I find the pathfinding algorithm to be spotty, at best. I lost Serana for a while in Shalidor's maze and she didn't turn up again until I took a carriage back to Whiterun.

Somewhat related, is there any way to actually stable a horse so that he stays put? I bought a horse in Markarth, rode him to Windstad Manor, then did some business in Solitude. When I came back, he had wandered off. I thought that was a thousand septims down the drain, but my horse eventually turned up again---in Winterhold, of all places. How does this happen?

Shalidor's maze is bugged...followers can get stuck in there...they just won't leave with you.

I don't think you can make a horse stay in a certain place/stable...eventually they will go back to where you purchased them...they will however fast travel with you...so if you lose your horse,just fast travel and it should appear.