In the vanilla version of the game, you only get to ride one dragon, Odahviing. That is just for a quest in the main storyline and you don't get to control him during flight.
If you have the Dragonborn expansion, you are able to learn a new shout: Bend Will. If you shout all three words at a non-named dragon (or Odahviing, it seems), then the dragon will land and you will be able to mount and ride them.
If you have the expansion and the shout, you can always summon Odahviing to mount him. If for some reason you don't like good old Od, you can just walk around in the open until a dragon spawns naturally to fight you. Fast traveling to open spaces also seems to cause dragons to spawn sometimes.
Do notice, though, that you will not have full control over their flight. As per the wiki:
Once airborne, it is not actually possible to fully control the direction of flight. Rather, the dragon will follow certain instructions or orders given to it. If no orders are given, the dragon will simply circle the area.
So it seems that riding a dragon with the purpose of reaching specific high-places might not be possible.
Consider a couple alternatives to reach high places:
- Horses in Skyrim can climb some absurdly steep slopes. In my opinion they are not true horses, but rather some species derived from mountain goats. They just look like horses due to convergent evolution.
- In Oblivion skooma would give you a speed boost. This was not the case for Skyrim but some mods actually reinstate that effect, and make it stackable to boost. You could drink an arbitrarily high amount of skooma and you would just get cumulatively faster and faster. After a few hundred bottles you could go from one end of the world map to the other in seconds (or likely crash the game trying), as if you were wearing the seven league boots of european folklore. Given the physics of the game, this also allowed players to reach high places creatively by climbing on a nearby ledge, drinking a lot of skooma and taking a step forward. Make sure you read the comments there. I don't know if this exploit has been fixed at some point though.
- If you are on the PC, you may be able to reach many locations by reciting the correct incantations in the game console. If you are truly mad you may also start from here, then work out the hexadecimal codes for other places.