I built a bizarre trade entrance into my current walled fort. A ramped path crosses the wall, spirals up to a sky bridge, then spirals down to my trade depot. The whole path is roofed (I though traps, like most furniture, could only be built indoors). So what went wrong, you ask?
As my first human caravan passed through, the wagons kept blinking strangely. I checked the roof of the sky bridge and noticed they kept blinking up there too. Strange, but no big deal, right?
Well, on the second floor of the depot building is a small unused room I haven't yet used for anything. I didn't exactly plan my trade bridge from the start. Just made up the design as I went and all that. So, when the wagons reached the point directly above this room (which is directly above the depot), they must've decided quantum tunneling was a groovy idea. One teleported into the depot two floors below while the other teleported into the small room on the second floor, forcing me to tear out a few walls and install ramps so it could find its way to the depot below. Strangely enough, it didn't actually use the ramps. By the time I'd finished them it too had teleported into the depot.
I haven't continued playing since I received the "caravan will be leaving soon" message. I'm afraid they'll get stuck or fall through the bridge floor and get caught in a loop 'til they go bonkers or something.