Be sure to stock plenty of Elixirs if travelling through the Countryside, for if you're killed without them you'll be stuck until reset brings you back to life.
You have a chance to find treasure chests in the Countryside, as well as interesting distractions, other cities, and maybe even a few magical locations filled with powerful artifacts.
If you have a numberpad, you can use it to easily traverse the countryside! Enable your numlock, and you can use the numbers 1-9(except 5) to travel. For example, 7 for up-left, 6 for right, 2 for down, and so on. The arrow keys also work for going up, down, left, and right.
It's a pretty big area, so be sure to take some time out of your day to explore and look around. You never know what you'll find.