It is very annoying having to walk all the way back out of the cave once I have done the mission, especially if there is lots of traps.
Generally in most dungeons when you clear it (kill the boss, loot the final chest, get a word of power, etc.) there is a path you can keep exploring. The path can sometimes be activated by a switch or lever and opens up a new route. This new route can either take you near the entrance of the dungeon or takes you outside. This eliminates the need to walk all the way back to the entrance the way you came.