A lone pilgrim building a shrine to his god at the side of the road.
A burnt and gutted village/inn which has been recently attacked by bandits/dragons/an army/undead whatever. Maybe it's a regular occurrence in the area?
Inn run by thieves who rob likely looking travellers in the night (after suitable doses of drugs in their sleep of course). Need some reason why they don't just kill the players of course.
Inn run by faeries just out to have a good time. When the characters wake up in the morning, they find the inns moved/vanished, the residents have changed, or any other worrying but non-fateful events. Faeries could make good use of glamour et al to make anything appear as anything they want it to.
An army marching somewhere off to fight some war (or coming back from one). Maybe first come across routing soldiers, then finally an enemy army in pursuit/camped down whatever.
Massacred caravan.
An obviously marked trail just off the road leading somewhere. Someone in need of help? A trap? A red herring?
No road. ie its vanished, gone, disappeared into oblivion. It just ends in the middle of open plains. Maybe continues a few kilometres further on.
A herd of cattle crossing the road. They seem to appear some kilometres to one side of the road, cross the road, and disappear several kilometres in the other direction. Some form of rift in space/time leading to other worlds. (okay, so I've stolen that from Mostly Harmless).
A lone horse, riderless. Still has saddle/saddle bags. Contents might give clue to who the rider was, but not why he's disappeared.