Roads are slight indentations in what would normally be grass, but appear to be made of dirt. They will also cut through mountains and hills, creating tunnels. Occasionally, the tunnel will be too low to traverse through. In rare cases, rock formations may spawn on top of the road which may block it partly or completely.
Following a road will lead to different cities and/or dungeons; occasionally the road will just end at an ocean. Traveling on roads also appears to be safer as there are fewer hostile mobs to encounter.