Let me answer this question with an example:
Earlier today I was doing the main quest. I got the quest to
Spoiler go to Sky Haven Temple with Delphine and Esbern.
That meant going from Riverwood to an area right by Markarth. It's quite a long walk, and I considered going to Whiterun and taking a carriage to Markarth, then walking from there, but instead I decided to take the long way and walk with the two of them. Along the way, I saw a dragon, and they decided that they'd meet me at the designated location instead of helping me fight. Fine with me, since I'm Dragonborn and all. I'm only level 10, and I'm playing on Expert, and haven't made any use of Alchemy (though I do have restore potions I've found along the way) or Smithing or Enchanting, so it was quite a challenging fight just to start off with. Halfway through the fight, and dozens of arrows later, I suddenly notice a few NPCs approaching to join the fight...
Spoiler It turns out these NPCs were three Thalmor members along with a Stormcloak captive. The captive just hid, but while the Thalmor and I defeated the dragon together. Now, for those who'll remember, this is a very sensitive time in the main quest, and the Thalmor finding out you are the Dragonborn is quite a big deal and not something you'd want to happen. So, as soon as I absorbed the dragon soul, the Thalmor members turned to me, and I immediately cut them all down before they could escape. I also freed the captive.
A really interesting turn of events that helped enhance the sense of urgency in the main quest and make everything feel more dynamic and real.
Skip ahead a little bit, I find
another dragon near my destination.
Spoiler Toward the end of a long and difficult fight, the dragon flew back toward my destination, and I saw fireballs being hurled at it. It was then that I realized Esbern and Delphine were at Karthspire, shooting at the dragon, and they were so far away, they had no idea I was there!
Again, just something that really enhanced the feeling of the game and made it feel more real and unpredictable.
Of course, i could have just fast traveled there and had nothing interesting happen at all outside of the scripted events of the game.