I just had a dragon circling above me. I prepared for battle, but the thing just kept circling and eventually left. Is this normal? There was a blizzard going on at the time.

It happens, the dragon just didn't give a damn about you!

Happened to me about 1 out of three spawns

It has happened several times to me as well. From what I understand, the dragons have been given an AI that allows them to free-roam the map and to do whatever they like. This means they may or may not attack you. Hope that helps.

Had it happen. The only time it's frustrating is when it's attacking you, then flies to the opposite side of a mountain to kill a mud crab.

As a general rule when you want to fight a Dragon they fly away or circle and when you don't want to fight they attack. Just concentrate hard and try and use reverse psychology on that cursed creature.

Happened to me earlier for the first time.

Pulled out my bow and was like "bring it!"

Wimp just circled twice than flew over the mountain.

He needs room to land. If theres too many trees or over water it won't land.

I had one like this early on, he was just circling above me for the longest time. I eventually scaled a tower nearby and tagged him with a well timed firebolt which got his attention.
Sadly that attention was directed towards two mudcrabs in a nearby stream. To the mudcrabs credit however they tanked that dragon like champs while I just pelted him with spells, that was such a derp dragon.