I decided to watch the Dragonborn trailer again to listen to the sweet remix of the Skyrim theme, and came across this portion...

http://www.youtube.com/watch?feature=player_detailpage&v=TRmdXDH9b1s#t=26s

Where is this locale? I don't think I've ever seen small waterfalls over basalt columns with netches milling about before.

Looks like Coldcinder Cave, it's an unmarked location underneath Raven Rock, or at least part of it. It's part of the escape tunnel should you get thrown in jail there, so you can get in that way (or walk into the prison yourself without getting arrested), or there's an unmarked trap door a little ways east-ish from the bulwark wall.