We treked on the road for a long distance, running past wolves, a troll, a farmer, a minstrel (can't recall his name), and dangerously close to a giant and mammoth. On a couple occasionsI had to stop and kill wolves because they were attacking the courier and I didn't want him to die, and then sprint to catch up. I thought I'd lost him at one point, but managed to track him down and continue. Finally, seeing a Stormcloak camp marker on the compass, I was looking forward to witnessing something I had not seen yet in the game. The courier turned off of the road, runs up to the campfire, and starts warming his hands. I stood there feeling disappointment and he glanced back at me as if to say, "Haha, fooled you, idiot!"
Anyone else fall for following one of those guys only to be disappointed?


I Fast Travel almost everywhere, but if I ever see one I definitely won't follow. 
After that, he only answered me with "Huh?", "What?" and/or "Can I help you?". Weird thief. Oh, and the guards acted like nothing was wrong. Maybe he was some family member of the Snow-Shods or something.