Relocate the followers to the Whiterun home

Any follower that is skilled at light armor and sneak (and optionally, archery too) should be fine. Followers should preferably be non-mage, as casting spells will attract enemies and blow your cover. Complete list of followers and their descriptions here: http://uesp.net/wiki/Skyrim:Followers

Followers that are good at sneak, light armor and archery are: Aela the Huntress, Cicero and Dark Brotherhood Initiate.

Tips to make followers extra-sneaky:

• Have them wear light armor only, as heavy armor is noisier and makes them more likely to be detected.
• Give him/her an item that has the Muffle (wearer is muffled and moves silently) effect (usually a boot or a shoe; and usually light armor too).
• Have you follower wear apparel that increases sneak skill (Fortify Sneak).

Also, note that (from the UESP wiki's "Skyim Followers - Follower Stats" article):

A follower levels up according to the PC's level up to the follower's maximum level (which varies for each). With few exceptions, each follower has a maximum level, and a specific set of primary skills, which are dictated by their class.

Prior to patch 1.6, a follower's skills, health, and other stats were set when they were first spawned (which is typically when you enter their starting cell, become a Thane, and so on) and would not increase as their level increased. Prior to the fixing of this failure of stats to update with patch 1.6, players could update a non-essential follower's stats so they would increase based on their current level by using the Wabbajack to polymorph them into another creature, after which their stats would update upon recovering their original form. Players of the PC version could also use certain console commands to fix any follower's inability to update their stats with each level.

So in most cases, leveling up the player character will also make your follower level up, increasing the follower's sneak skill (the maximum and by how much, will depend on the specific follower and their NPC class).

So it actually seems to be not "unique", since it was encountered at least once in the exact same configuration by someone here. As in my case, there was the same combination of mammoth + dragon attack.

The elder scrolls wikia also mentions the bug of Skjor coming back, dead and clipping through objects.

Companions were also seen wandering far from their place here and here.

So my guess is: it might be implemented in the game that Companions go at random places in Skyrim to hunt big hunts (after all, they are supposed to be the mightiest warriors). Maybe it is triggered by becoming a Harbinger, maybe not (would need other conclusive proof).

Skjör seems to come back often, it might have happened in my game without me realizing. It seems to happen to Kodlak too from time to time. Being close, Njada followed and helped them too.

Both her and Skjör joining might be an effect of the CompanionFactionMinusBrillAndVignar faction. This faction thing could actually be the reason behind Skjör and Kodlak "resurrecting"

Edit: video of the bug happening: here and one with a variant here