I always got my hopes up when the guards say that they heard howling the other night.
One of the loading screens also mentions how people are wary of werewolves preying on unsuspecting victims at night. It's really odd that there's no way to encounter them (except for the one in a specific quest, or those locked up by the Silver Hand, who are non-respawning).
I also find it odd that the Circle never transforms, except for two specific scripted events... even Aela who likes her lycanthropy. Would've been cool if you could randomly find her outside in beast form hunting some wild animals or nameless NPCs/bandits/whatever. Some time after joining the Companions, a guard also comments on the sounds of "dogs" coming from Jorrvaskr and asks you to keep them quiet, even though none of them are ever in beast form. I liked discovering the Underforge's rear exit, which would've played in well for the Circle: enter the Underforge from the city, change in seclusion, then leave out the back and hunt away from the city.