As in the shrines and so on... There's a skeletal arm sticking out of a small stream just outside Whiterun and holding a sword... that always makes me wonder. I once ran across a weird puzzle near Rorikstead with a grate in the floor but no quest leads you there and to this day I have no idea what's down there.

Since I think I (and probably a lot of people) miss a lot of these unmarked locations, let us know some of your favourites.

Talos Shrine near Gallows Rock.
The bathing hunters in the hotsprings near Mistwatch fort
Bandit camp in the cliff outside Helgen on the road to Falkreath.

to name a few.

Mara's Eye - small trap door in the middle of an island near... uhm, someplace.

But I do love finding the shrines, especially the Talos Shrines, which are tucked away all over, or else hugely, defiantly standing over something.

Oh, and I love finding the random ring of mushrooms.

The peak of land above the exit from Darkwater Pass, it has a view of the whole of Eastmarch, and the entire falls from Lake Gier to Darkwater Crossing.
The top of the College of Winterhold on a clear day.
I have found that the red X's on the Map that came with Skyrim have some very spectacular vistas, but the Red X's are also some of the worst locations to enter in the game.

I love that place. Cradlecrush Pond. It's one of those places I just go visit when I'm in that area. Not too far from there, at the bend in the White River just below Cradlecrush Rock, is a small island. There's not anything there, I just like going there sometimes. I occasionally set up camp there for the night.

Now that I've learned (in the Unofficial I Never Knew... thread) about the pass through the mountains from Whiterun Hold to Ivarstead, I love traveling that path. It's so peaceful, until you get to the other end.