Honestly, there isn't anything of importance before they set out on the hunt for the axe. The search will take a while for them, so I planned to skip to a spot a few months in, near Sentinel in Hammerfell. The search up to that point would be rather slow and mundane, just traveling around talking to people and following up on leads that Saras' agents give them. Probably no fights beyond a highwaymen encounter, since Vile's people have mostly given up on the lycans.