In The Last Kingdom, characters are shown frequently moving between settlements both on and off road. How would an Anglo Saxon navigate between settlements without compasses or maps or even an understanding of cardinal directions? Was there an understanding of cardinal direction without the use of compasses? Would there be road signs, or was literacy too poor for them to be useful? Would they have to rely on local knowledge or fellow travellers?
What about the dangers of navigating between borders? I presume moving between Danelaw and Mercia, for example, would be dangerous, but how would a person know where Mercia ended and Danelaw began?
So this is a answer predicated largely on time, and to a certain extent place. Settlements which didn't lie adjacent to the old Roman road network - which was surprisingly extensive - tended to lie adjacent to a river. By the Ninth Century, there was also a developed network of "roads" between settlements. Originally intended for military use and known as herepaths, these show up most commonly in contemporary charter evidence, most often in boundary clauses. Don't forget that an agrarian rural economy depends on the availability of the Market; paths between outlying villages and the local market town would be well developed and frequently travelled.
If you lived on the Mercian/Danelaw border, you would very much know where it was. Roughly. The Mercian border regions in Cheshire and Staffordshire were controlled by the Roman Watling Street and the rivers Dove and Trent. These in turn were controlled by Mercian garrisons and an extensive array of watch stations, signal beacons and local defensive strongholds arrayed along inter-visible hilltops, hill forts and bowl barrows along the route. Setting out North from Burton or West from Uttoxeter and Hanbury then, you would know you were getting close to the border when you reached the final beacon at Tutbury.