And a Whiterun guard can sometimes mention seeing an "evil looking creature" near the entrance of Shimmermist Cave, but that doesn't really happen.
Does the guard say evil looking creature? I'm asking, because the german translation has the guard say that he spotted 'a small, pale white creature' near a cave to the east and that he's never seen anything like it before. I always thought it was a very weird way to describe a Falmer. The Falmer are very tall, probably even taller than the Altmer, so I was kind of surprised when I encountered Falmer in that cave. I play a Breton female and they are so ridiculously tall, that she looks like a small child next to them. Poor guard, he probably needs glasses.
I've never encountered Falmer on the surface either, but I found a Falmer tent on the surface. It's located on a snowy mountain and near the entrance to one of their caves. There was no Falmer in there however and none to be found anywhere near it.