About the quest compass / fast travelling by mouse click:
If your world is rather bland or samey, fast travelling is fine. Because there is no point in walking there.
Then again, if your world is interesting and unique, you should encourage the player to go explore it. That's what Gothic 3 did very well, and Morrowind did that pretty good as well.
With Oblivion and Fallout 3, it wasn't all that much interesting to travel around by foot. Because the things you might encounter were all pretty much the same. Computer generated, from a (severely) limited set.
In Fallout 3, it was all pretty bleak, but there were interesting locations to encounter along the way. Not that many, but enough to look around. If you didn't mind the endless subways and destroyed houses in the vast desert.
In Oblivion, things look pretty cheery. But I can't think of a single landmark that was actually interesting or different. Walk around for an hour, and you've seen it all.
So, my gripe with the fast travel in Oblivion isn't so much that it is there, but more that there is no point in not using it and walking the distance.
Morrowind is MUCH larger than Oblivion. Perhaps not in actual distance measurements, but definitely in content and travelling time. Even if you simply run the distance. You'll be there much faster in Oblivion even if you don't deviate.
In Morrowind, you see something strange, or a nondescript entrance, and you simply have to go and take a look, as you cannot know what is behind it. While it probably looks like something you've seen before, there is much more variation in looks, content, loot and options than in Oblivion.
In Oblivion, you know pretty well what is behind that entrance when it isn't a quest target: nothing you haven't seen or done yet, with no interesting enemies or loot. Pass it by and continue your journey.
And the same goes for the quest compass.