Ah yes - look out ...
They are impersonating the Imperials and will try to force you into paying a tax. If you choose to fight, watch out - they are pretty tough (depending on your game's difficulty setting).
The weirdest thing I've seen in the vanilla game was a dead horse attached to a burned wagon way up in the mountains. The horse was 80% under the ground so only a little was showing - quite strange and disturbing.
The weirdest thing I've seen was a mammoth riding on the back of a flying dragon, who dropped the mammoth off on top of a mountain.
Jarl Balgruuf sitting in that jarl-slouching posture...in midair, a good twenty feet away from his chair. Everybody else is standing around, conversing with his empty chair.
the splash is probably coming from it loading the Skeleton located under the dragonsreach bridge
The headless horseman Ghost and a Wolf Ghost..