Okay, I recently downloaded Arena. It's generally awesome, and I understand that the world is huge (but still much smaller than daggerfall). I'm a super hard-core RPG nut, so I was wondering: Is it really impossible to get between cities without fast traveling? I mean, not just will it take a huge amount of time, but is it ACTUALLY REQUIRED? I just spent the past hour trying to get out of the city I started in, so I'm assuming yes...

I believe if you reach the end of the map "boundary" for the areas outside cities, it'll just loop around and you'll find yourself on the other side. There is no way to walk between cities.

Okay, thanks. And one more question: is it the same situation in Daggerfall?

No.
But you'll go insane if you try to walk towards daggerfall.