The strangest thing that has ever happened to me in that game was when I saw a ghost rider. I don't remember if he had a head or not, but he was riding a horse, he would ride right through, but would not attack at all, and both he and his horse were seethrough and had a blue ghost tint to them. I spotted him outside of whiterun I think, don't remember the name, It is the first village to offer you a very dark brown horse, it has the mean elf girl that works for the king, and also has the castle where you trap the dragon at that lets you fly on his back. but i saw him outside of the castle's village coming down the steep hill to the right of the village. I tried to follow him to see where he was going, but I didn't have a horse yet and since he was riding one I couldn't keep up with him and eventually lost him.
I'll tell you what really sucks. A Whiterun guard told me he saw a dragon flying to the Northeast. I went to where he said the dragon was and got jumped by a Dragon Priest while fighting the dragon. It was a long, drawn out fight featuring, but not limited to: Cursing, usage of many potions, ducking behind rocks to dodge fireballs and dancing upon the priest's corpse when I finally took him out.