i ran into some NPC yammering on about Frostmarch, and the transport in Krull or something like that to get there. is that vampire island?
That was probably the boat for the island of Solstheim. Feel free to visit the place if you wish. You can always come back and it's great for hunting! It is made for higher level characters though, so be sure to be well prepared if you do decide to take a walk around the island.
Solstheim is fairly dangerous, yes, but if you keep to the coasts on the southern section (but away from reaver camps) you can get some stuff done there as early as level 12 or so. The really nasty creatures won't spawn until higher levels there, but you can still get good daggers from the level 10 Fryse Hags. Personally I like to do the very first quest at the fort (the booze one) to unlock the vendor there, and to get started on the Raven Rock quests early. That way you can intersperse Raven Rock quests with your adventures on Vvardenfell, and it actually really feels like you're helping a town to grow to fruition. I've found it's a much more satisfying way to handle Raven Rock than doing it all at once after you get to level 70 or so. There isn't any real fighting required until the third or fourth RR quests, either, which helps.