ShadowWulfe: Toggle clipping, it's a console command that let's you and NPCs walk through walls. It's helpful for when idiot NPC's get stuck in walls, or you need to walk past someone blocking your way and don't have the patience to wait.
Alternatively, if you would rather not outright cheat, you could use the super potion exploit to raise your Speed really high (a few thousand should do the trick IIRC). (Basically, make Fortify Intelligence/Luck potions and drink them so you can make even stronger potions, then once one of those stats is high enough, make some powerful Fortify Speed potions.) Note that doing this *will* make it hard to control, but will allow you to go so fast that the collision detection fails to prevent you from going through walls.
To get your speed back to normal quickly, you can use Drain Speed spells on yourself; as long as your Speed is above its normal value, you won't get the Speed back when the effect wears off (assuming you haven't installed the MCP option that changes this behavior). Once your Speed gets below its normal value, you can use Restore Speed effects to restore it to normal (I recommend making the spell in advance).
Getting a companion to go through walls is more difficult, but you can use what's known as the Soul Trap exploit; create a spell with two ranged effects, one of which is Fortify Speed on an area, the other doesn't matter (I recommend something harmless) but should not be in an area. If you hit anything with the Fortify Speed effect but the other effect hits nothing, the effect is permanent (until damaged or drained, as it doesn't change the base value).