I was simply amazed when after the Battle for Whiterun Galmar Stone-Fist starts walking towards Windhelm.I joined up on him and we're on half way to the future High King now.
Perhaps you knew that, but in case somebody didn't, I wanted to share that with you.I know he doesn't walk to Korvanjund in the prior quest so I was surprised he actually really walks in this quest all the way back.

I think all the npc's do that (or at least a good chunk). Though when I found out myself, I was as surprised as well.

Didn't npcs do this in Oblivion as well?

i know from a lot of npcs that they walk the whole way to certain places, if you stick with them.

Yup, as long as you are in sight, they walk. They only do their off-screen-teleportation ... off screen.