Of the four "direct" methods of travel, three of them will only take you to major settlements. These are the Silt Strider service, Boats/Gondolas and the Guides of the Mages Guild. They all work pretty much the same: find the caravaneer/captain/guide, select your destination and pay your money. The problem is that each one of these people only travels to, at most, four other destinations. If you are in Maar Gan, for example, and need to get to Pelagiad, you're out of luck. You'll need to take the Silt Strider to Aldruhn, then travel to Balmora, then travel again to Seyda Neen or Suran and finally go the rest of the way on foot. They are 100% safe, but they cost a few golds.
The fourth method uses a "Mark" and a "Recall" spell. You set an anchor with the "Mark" spell, and then cast "Recall" to return to your anchor whenever you'd like. This is a bit of an improvement over Daggerfall in that the anchor only needs to be set once. But since you have to be at your destination to set the anchor, this method works best as a get-away mechanism rather than as a regular means of transportation.
All of this leaves the decidedly low-tech transportation method of walking. Don't get me wrong. Walking has several advantages. First of all, it's free. Face it, when you're scraping the bottom of the cash barrel because you are saving your shekels for potions, spells, scrolls, training, equipment or repairs, that 15 to 20 gold for the guided services can add up pretty quickly and could mean the difference between staying alive or not.
Secondly, walking (running, actually) will develop your Athletics skill. Granted, it will develop slowly. But you weren't doing anything else, so why not? The drawback is that it saps your fatigue. You have to make sure that you don't wear yourself out so that you can deal with any random encounters along the way.
Thirdly, the good folks at Bethesda went to a great deal of time and effort to create the most visually stunning game on the market today. It's only fair that you take the time to admire their handiwork.
Traveling by foot isn't terribly difficult. It's more or less a case of pointing yourself in the right direction and holding down the "W" key until you get to your destination. It may take a while, but you will get there eventually. It is possible to get lost, but the good folks at Bethesda were kind enough to plant sign posts all over the place, so it's a fairly simple matter to keep yourself pointed in the right direction. About the only time you really need to worry about getting lost is when you're traveling cross-country. But if you keep an eye on your bearing, you'll hit a road or landmark eventually.
There are three disadvantages to traveling by foot. The first is that it's slow, even when you run. Yes, it can make for a lovely stroll in the country, but it is still slow. You can speed things up a bit by enchanting an item with the "blinding speed" ability (adds 200 to your Speed attribute while the item is equipped), but if you don't have that kind of money, you're stuck with getting a belly full of eye-candy.
The second problem, if you're anything like me, is that those doors simply demand investigation. Unlike Daggerfall's automap, Morrowind's automap doesn't mark them on your overland map. Just on the local one. So if you don't stop to investigate when you see it, chances are very good that you're going to forget that it's there. And if I do stop to check them all out, I'm bordering on overloaded by the time I get to my destination.
The third problem is random encounters. If you look at each section of landscape in the Construction Set, you'll see the landscape littered with hordes of "ninja monkeys". These are respawning critters that are more or less tied to your level. The higher your level, the tougher the critter. On average, they are little more than a nuisance, but they become more dangerous with your level and they have a very nasty habit of chasing you. So you're going to have to fight them. This can consume precious potions and spell points, especially when you encounter diseased or blighted critters.
The encounters that I find most annoying are the cliff racers. These "birds" like to play "death from above" on your head. You can't run away from them , because they will follow you. And since there are so many of them, you will usually pick up another two or three, all ganging up on you at the same time. If you have decent combat or Destruction skills, it's little more than an annoyance, but it's a repetitive annoyance.
If traveling cross-country, you will also run into various and sundry NPCs on or near the roads. Those that are going to attack you are going to attack you and there is little reasoning to be done. The rest, for the most part, either have small side quests or will attack you only if you talk to them.
In spite of this, cross-country traveling can be an adventure in and of itself. It isn't typically as lucrative as dungeon crawling, but it can be profitable and enjoyable.