User blog comment:Arjen2/What First?/@comment-5072214-20120522234756

Get a horse!

No, really. Steal a horse from the Whiterun Stable as soon as you escape Helgen. Ride it all over the place, idenetifying locations you can later fast-travel to. That saves a lot of boot leather, and horses can often climb rocks you can't.

Just don';t get caught, or dismount/remount your stolen horse where any people can see you--that counts as another theft.