At this point I became concerned. Lydia does have a habit of getting terribly lost some times, but I'd been careful to stick to roads for her and everything. No sign. I started to fear she might be dead. Time to fire up the console. I save my game then moveto her using the console and find myself in a Whiterun jail cell, with a sheepish Lydia and a dead, naked bandit. I don't even want to know what she was up to, though come to think of it I don't think anything can be worse than the mental image I have concocted.
I, myself, had committed no crimes and done nothing to make Lydia throw caution to the wind. Anyone else had an instance of their follower going off the reservation and getting themselves arrested? I didn't think it was possible.