From Diablo Wiki
A Caravan is a persistent group that follows the heroes across Sanctuary, providing a centralised hub for players to find quest givers, crafters, and other important NPCs. As your character moves through the world so too will your loyal band, setting up in specific locations to remain close by should you need them.
Your Cheering Squad
The concept of the Caravan is a group of NPCs who are following the heroes around to assist them and help fight the demons that threaten Sanctuary. Jay Wilson elaborated on this in an April 2011 interview. 
Yeah they do. They tie-in to a kind of high-level philosophy of this idea of an entourage, a caravan that follows you throughout the world. We really like the idea that the player moves through the world and meets all these unique characters who become so impressed and enamoured with the valour and abilities of the player that they all dedicate themselves to helping the player in their cause. So by the end of the game you’ll have a whole entourage of guys who follow you around - your artisans who will craft and improve your weapons, your Followers who will follow you into combat and support you and all the quest givers who will also sometimes go out into the world and do different things for you.
- Caravan Details - Jay Wilson, Blizzard Entertainment with NowGamer, 01/04/011