Did anyone tryed to follow them? Do they actually go to specific location? When I bribe them I always get "Map Updated" but I cant find it anywhere.
Just curious =D=D

yeah it is sorta annoying when they update your map, and forget to tell you what they just updated. I always find them later in the game so i've pretty much discovered every location. Also i've killed one of them for his sweet suit of ebony and dwarven armor

Cool the first few times, then gets kinda old te 20th time.

I have however encountered Miaq 4 times in different places when I thought it was a one time rare encounter. I was happy

I had a run of Khajit and Elven thief / mage attacks walking from Markath to Whiterun. I then noticed a Khajit standing off the road ahead. I stuck it with a pin only to find I had tested the essential status of Mai'q. Reload. I like Mai'q.

I am yet to follow a Mercenary to see where they end up. Might be worthwhile.

Yeah, the first time I came across one of them they told me "Stay away from this place, its full of vampires!" Get the map updated message, but I wasn't sure where they were talking about, cause I had several undiscovered locations marked on my map. Since I dont want to become a vampire, I'd like to know what place I should avoid, or be prepared to cure it.

I think the consensus in another thread was that there is no meaningful interaction. The map updated dialog doesn't actually point you anywhere. I usually kill them for their high quality armor.

I just intimidate the mercenaries and initiate a fight with them. After they're dead, I take their stuff

Same here, easy way for me to make easy gold, since they are relatively easy to defeat. It does give a location but if you've already discovered a whole bunch, you will probably miss it. I encountered one when i was level 5, and they do update with an undiscovered location but you have to hunt for it in the map even with a blank slate map.