This is a partial answer to your question and perhaps others can build on it. I need to head out so perhaps I can flesh this out further when I get home.

Peasants were indeed often "bound to the land" as it is commonly put and could be sold with the land to another. However it is important to remember that not all peasants were serfs. In England a relatively small percentage (although one that increased into the thirteenth century) were free and worked for wage labour on the estates of neighbouring manors to supplement earnings accrued from their own holdings. Both free and unfree peasant workers had to pay their tithes to the Church, amounting to a fifth of their income. Spencer Dimmock, The Origin of Capitalism in England, 1400–1600 (Leiden: Brill, 2014), 67.

On that latter point the Church actually played an important role in the promotion of pilgrimage to all levels of society. Peasant farmers were encouraged to embark on pilgrimages to holy shrines and unfree peasant workers could receive permission from manorial officials to leave the village for a time in order to fulfill these religious devotions. They had to pay a fine to do so, a chevage, and could be punished if they did so without. Peasant and Community in Medieval England, 1200-1500 (New York: Palgrave Macmillan, 2003), 111.

As Susan Morrison has shown pilgrimages could also be rather expensive depending upon the route, and quite dangerous given the risks posed by nature or other humans. Depending upon one's status or condition one might have to acquire the King's permission, and documentation of this kind can be found in Close Rolls and Patent Rolls. Susan Morrison, Women Pilgrims in Late Medieval England: Private Piety as Public Performance (New York: Routledge: 2000), 45.

Women could also travel alone in certain circumstances, particularly if they were widows, and did so in order to pray for themselves, their children, and the souls of departed spouses and children. If they were still married they would need to receive the permission of their husbands.

Morrison has also shown that special licenses were required to export money, so pilgrims would have to obtain them if they intended on travelling with a significant amount of currency. Ibid., 55

In these times, how did they keep track anyway? If you just left, who would know and what could they do about it?

This answer approaches your questions with a literary and historical perspective. I haven't much to say on who participated in pilgrimages, but I hope you'll find the information interesting and relevant on the difficulties involved in pilgrimage.

The difficulties involved in travel for an English pilgrim might be more varied than you think. Geographical distance is the most obvious hindrance, particularly when considering high profile pilgrimage destinations like Rome and Jerusalem. However, there were pilgrimage shrines across Europe, including England, and so when we talk about travel for pilgrimage, we’re not always referring to a journey all the way over to the Holy Land.

Dee Dyas has noted that the appeal of these high profile destinations, particularly the Jerusalem, was that it offered the chance to walk the path of Christ. But that doesn’t mean that other shrines were unpopular – each offered different spiritual benefits for those who made the journey, and the reasons people had for visiting closer shrines, like those of England, France, or Iberia, were varied. Some wanted to identify with aspects of the life or suffering of Christ, or to obtain forgiveness. [Dee Dyas, *Pilgimage in Medieval English Literature, 700-1500 (Cambridge: D. S. Brewer, 2001), pp.130-3].

To take a literary text as an example of this, we can look at Geoffrey Chaucer’s Canterbury Tales. The tales are a collection of stories told by a group of pilgrims on their way to the shrine of St Thomas Becket, in Canterbury. It’s the reason for this that’s important – it’s a physical one. The shrine is believed to have healing properties:

And specially from every shires ende

Of Engelond to Caunterbury they wende,

The hooly blissful martir for to seke,

That hem hath holpen whan that they were seeke.

[Geoffrey Chaucer, ‘The Canterbury Tales’, in The Riverside Chaucer, ed. Larry D. Benson (Oxford: Oxford University Press, 2008), p.23, ll.15-18]

So the crux of all this is that travel was a difficulty for a peasant looking to go a reasonable distance in the Middle Ages, but the assumptions about pilgrimage requiring a great distance aren’t always correct.

Alongside the geographical difficulty of travel, there were some other difficulties that were overcome in the preparation phase. Raising enough money for the journey, for example. During the Hundred Years' War (c.1337-1453), or times of plague outbreak, there were points at which licenses were required for pilgrims. [Dyas, p.137].

Spiritual preparation was also a necessity for pilgrimage. Whilst the Church actively encouraged pilgrimage throughout most of the Middle Ages, towards the end, approaching the Reformation, it began to reject the notion of pilgrimage for fear that its spiritual benefits did not outweigh its spiritual risks. Christian K. Zacher has plenty to say on this idea of ‘curiositas’ as a risk of pilgrimage, referring to any excessive and curious interest in observing the world. Essentially, ‘curiositas’ on pilgrimage is the worry that those on pilgrimage might be so dazzled by the exoticism of the physical world that they might lose sight of the spiritual reasons for which they were journeying – that a pilgrim might begin to see their journey as a holiday, or a chance to explore the unknown Eastern world rather than a spiritual journey. [Christian K. Zacher, Curiosity and Pilgrimage: The Literature of Discovery in Fourteenth-Century England (London: Johns Hopkins University Press, 1976), pp.1-8].

On that notion of exoticism, we can find travel writing texts of the late Middle Ages that are the modern equivalent of best-sellers. Texts such as the Book of John Mandeville would give the fourteenth-century reader a taste of this sort of exotic exploration, but wrapped in the framework of a traditional pilgrimage. J. K. Cohen notes that accounts of pilgrimage were nothing new, but the narrator of Mandeville not only supplies his readers with advice on reaching the Holy Land, but the marvels and exoticisms they might find along the way including dragons and sunken cities. [Jeffrey Jerome Cohen, 'Pilgrimages, Travel Writing, and the Medieval Exotic', in The Oxford Handbook of Medieval Literature in English, ed. Elaine Treharne and Greg Walker (Oxford University Press, 2010), pp.611-15].

What about wonderers? Did they exist? Were there merchants and entertainers who bounced from town to town and if so how were they treated?

I'd add, but I am not sure if this complies to subreddit rules, the book English Wayfaring Life in the Middle Ages that I used to write a short radio feature about that topic a while back.

https://books.google.de/books?id=xGoQ_uKXz1MC

The author, JJ Susserand, argues that not only did people travel a lot (mostly for pilgrimages as you said, visiting important religious landmarks) but that it was also relatively cheap. You could take a ferry ride downriver and book a cheap hostel room for a day's wages. Travel by water in particular was fairly cheap.

A follow up question: besides religious purposes, did people become pilgrims for the mere sake of traveling and seeing a bit of the world? Or were they all in it for the aforementioned reasons in this thread.