Ok, this is the weirdest thing I've experienced in game yet. I fast travelled to the College of Winterhold, and as you know when you fast travel anywhere outside a walled up city your horse travels along - but this time there was no Shadowmere, just a wolf. At first I was a bit startled, I mean, it was quite the surprise. I was wondering if Shadowmere had been killed and having no clue what was going on, I also expected the wolf to attack, but it didn't, just looked at me and continued to howl.

To see if I could fix this "glitch" I fast traveled to Saarthal, and I got lucky, Shadowmere was back. But as I mounted I heard the familiar howl and turned around. The wolf was now standing beside us. Fast travelling back to The College of Winterhold I expected to be rid of him, but again I heard the howl, this time he was a bit further behind us on the bridge.

Has this happened to anybody else? And WTF?

Kinda had the same thing with an ex girlfriend of mine.

Seriously though, I have never had that before, but I do occasionally fast travel only for Shadowmere to not be there. Dunno where he goes but he eventually comes back. Have you tried killing the wolf? Death can seriously impede a living organism's ability to travel.

EDIT: Minor Spelling Fixes

So what happened was you left the town, there was a wolf stood there, so you fast-travelled and your horse spawns on you like it always does?

Well, as stated I didn't just leave town I fast travelled from Riften to the bridge outside leading to the College, and discover that instead of Shadowmere a friendly wolf, who refuses to move an inch, has spawned. Luckily the problem was fixed rather quickly, but now I have two animal companions instead of one.

Im kinda jealous. I want a wolf Companion.

This title is incredibly misleading

So your horse didn't turn into a wolf. Your horse did not spawn on you the first time round, and a wolf/dog spawned in its place. Perhaps a shout or racial ability has bugged and your stuck with an animal ally. Very misleading title.