Some others hit on a few really good points.
Light combat (!)
Give multiple choices that they
could handle, some that they might if they
work together and are lucky and let them know that some things out there are
way beyond their scope!
Guard duty: Caravans always need guards. Sometimes nothing happens. Sometimes a power struggle takes place between the guards/workers. Orcs don't have to attack every time.
A boxing match to settle disputes could do wonders.
Is the path blocked ahead? No, not orcs; just a few trees struck by lightning-well that's odd; you still have to clear it! If the caravan is delayed bonuses will be hurting.. and everyone will not be smiling at the PC's.
One of the wagons beaks down! The rest can't stop because of deadlines. Move some of cargo to other wagons and guard "Festus" and "Old #7 to the next small town to sell the nonessentials, fix the wagon and join the caravan on the way back.
While helping with one of the above, our 1st lvl guys and gals see a small advanced war party coming out of the mountains. Nearly 1 dozen brigands who also have a wagon (?) are traveling at night. Do they remain focused on their task, or try to follow the brigands?
Somehow, the party finds out that brigands are transporting a covered box or cage inside their covered wagon. Someone notices Runes everywhere like graffiti. They seem to be keeping something contained in the box...
If the party picks the last one.... they'll most likely die! OK, one will live and take some of the characters starting loot to be the 2nd lvl character that another group of 1st lvl characters rally around...
