True! I usually get my Moon Medallion quest and Khajit follower from them. It would make sales much more convenient (especially if I decide to join the Dawnguard - mainly because I've been being harrassed by vampires since level 8 and they're really getting on my nerves.
I actually think that caravan goes a lot further than Fort Greenwall, I've seen caravans as far as Dawnstar, though I'm not positive it's the same caravan.
As far as vampires go, I recently read that you can head straight to Fort Dawnguard right from Helgen if you want and be rid of them early. Not gonna help you or me on our current builds but I will keep it in mind for my next one for sure.