Something similar happened to me when jumping off mountains, i thought i could make it to the water below without hitting the side of the cliff, big mistake :D

Now i save all the time just to avoid such incidents :)

First is was only Whiterun for me, and quitting and restarting the game helped. Now it happens everywhere outside, sometimes inside as well and sooner and sooner after restarting the game. My save game is 11mb. It runs like crap now.

Good thing I can cast fireballs for free with my gear, there's no way to hit things accurately outside at 5fps.

Shadowmere is not immortal on Skyrim, just has an insanely high HP regeneration rate. You can put him in a fight against a giant and he'll come out with barely a scratch, but if you do enough damage to kill him in one shot, he'll die permanently. 

He's an amazing decoy in expert/master difficulties in some tough dragon battles though

Haha I done the trick last night where you can get your whiterun house fully decorated for free.

Mines at 226 or something right now with further 31 points of fire damage.
That is I think the highest you can do without using any potions (except you could use a 2nd weapon enchantment, but I didn't want to)

And my raw armor rating is at 777 which I think is as well the highest you can do.

Level 44 now with 61 hours in the game. This will surely beat my Fallout 3 time. Skyrim is huge. And I need DLCs soon !!!

Well Delphine is a main character so under normal circumstances you cannot kill her.
I think in Oblivion you could wait or sleep for three days then everyone will forget about what you did to them (if it wasn't so serious). You could however end up in jail for a while.

I just remembered your post because I finished the Thieves Guild quests (got the guild master armour) and didn't see any bug (or nothing that I noticed). What bug did you get?

It's not technically a bug, it's more like a mistake from bethesda. When you receive your basic thieves armor, you get to a stage where you need to trade in one peice for the improved armor. But what's been happening is people have been selling their basic armor because they had better at the time, so when it came to trading a piece they couldn't progress further because Tonilia won't give the option to not trade anything, so people were stuck because the couldn't get the basic armor back to trade.

Luckily I kept the boots, so ive been able to carry on, which I'm happy about because their my favorites faction and I really want the masters armor!

Ah I see. Yeah, that's a big oversight by Bethesda, they should have left some pieces of the armour laying around on the Flagon or on the Cistern. I didn't had that problem because I hold on to the entire set (even after getting the GM set) because I like to collect every unique piece of weaponry&equipment in the game, but for those that don't then it's a major issue.

Although, and without spoilers, the GM armour pales in comparison to a set that's given to you on the final quests of the Thieves Guild

Just found a troll like follower (called him Wagram)