if I go into the ocean from Winterhold and start swimming North or East, what happens? Will I just swim forever? Will a sea monster kill me? Is there an invisible wall?

I'm just curious, does anyone know? I googled it but couldn't find an answer...

I'm guessing the invisible wall will stop you.

You hit an invisible wall, although you can turn that off if you have the PC version of the game.

An invisible wall stops you and a message comes up saying that you can't continue in that direction.

Good guess, a message will appear saying "you cannot go that way, turn back"

Well that's lame, I was hoping for a sea monster or something...

That is also accompanied by an invisible wall, as previously stated you can turn it off on the pc by adding bBorderRegionsEnabled=0 to the [General] section of your skyrim ini.

That'd be great. Or the wall just turns into a mouth and swallows ya whole.

Should of just tried it....

same thing happens if u walk far enough in the wrong direction. it simply stops u. ur not meant to climb some of the border mountains and if u reach the top, they yell at u. i have a habit of taking the "quick way" to an objective and this usually takes me mountain climbing and going through places i probably shouldnt. invisible walls are a lot rarer than i expected.

havent tried
might be something like this
http://www.youtube.com/watch?v=xRIMWnQcIHY&feature=related