I've gotta say, its actually pretty easy if you get used to compensating for the lag. There is rarely a need to deviate far from any given compass direction when traveling, and I can make better time w/ a wagon and raft inside to most places than I could over water because of how so many rivers dead end and the systems are all isolated. I usually travel for a while constantly moving before I hit a snag, and once you get used to it those are easy to get out of, usually all you have to do is try pulling in a different direction slightly or "jiggle" the wagon around and it will come off. My only complaint is the lack of oak trees

They're about the only thing to safely make camp behind for the night when traveling in a wagon. I've been going north for like three hours looking for a place to log off, stuck in fir and pine trees the whole way, never saw hint of other types of forest terrain.
I do agree it would be nice to have some sort of path finding conveyance eventually though. When(if)ever horses get put in it would be nice to see them capable of dodging obstacles on their own at decent speed. It'd also be cool to see horse archery, but that's another matter (:D). Would be neat too to have another vehicle that can do it, a chariot perhaps (not really the right area but those were used in a lot of the world before people figured out you could just sit on top of the horse and throw your javelins or poke with your spears instead of behind it) but it sort of makes sense to encourage wagons to use roads.
The wagon in general adds a lot to the game. As said its a very good alternative to boat travel - it takes a lot more attention to get where you're going but you'll probably do it faster if its any distance away because the difference in crossing water on a wagon and land on a boat is so great (and of course the bits of land you have to walk over are generally huge). Once you do you one good trip across a couple SGs in the wagon you ought to be able to really make some time on it. As an added bonus you can carry enough stuff for your character to live out of it if you've got large chests.
One REALLY nice addition to the game though would be some kind of stump pulling machine or tool that can fit in a wagon slot. Sometimes it really is just quicker to chop the tree down than go around an especially bad thicket, or more often the tree is blocking a pathway that will let you avoid going around a long cliff face or some other terrain feature. It would be very nice to just whip out the stump-o-matic, leash the bull to it, and yank that sucker out of there then get right back on your way. That would make carving wagon paths a lot more practical in general. Also the world (or at least the immediate area around cities) might not be so ridiculously overpopulated with never-decaying stumps.