There are a few shortcuts in Hyrule that will warp you from one location to another instantly.
From Goron Village to Lost Woods
After you play Saria's Song for Darunia in Goron Village, you get the Goron Bracelets. You can then go up to the second floor of Goron Village, where a Goron is sitting in front of a couple of unlit torches next to a tunnel. At the end of that tunnel, you can pick up a bomb flower and set it down by the boulders, and it will blow up the boulders. Then you can go through to the end of the tunnel, and you will come out of the stone arch in the Lost Woods.
From Zora River to Lost Woods
In Zora River, next to the waterfall entrance to Zora's Domain, there is an alcove with a deep pool of water. In order to dive deeply enough, you have to go fishing in the Lake Hylia fishing game as an adult and catch a 13 pound (6 kg) or heavier fish to get the Golden Scale. This underwater shortcut takes you between Zora River and a pond in the Lost Woods.
From Zora's Domain to Lake Hylia
There is an underwater door in Zora's Domain that you can dive into after you get the Silver Scale from the waterfall jumping game in Zora's Domain. The shortcut takes you from Zora's Domain to Lake Hylia.