These files contain searchmaps, information on how to walk between two points on a map..
.WAY files are binary dump of CWAY_bin object, which mainly contains two lists, sometimes pretty long: nodes CWAY1_bin and links CWAY2_bin. While nodes define a spot on a map, links define connection between two nodes.
.WAY files are located under $DATA/Cache/Levels, there's one .WAY file for each map.
For example, this picture shows nodes in Scar Ravine, with minimap in the background. Note that minimap might be slightly different from the actual map. Also note that although the nodes are mostly placed on a grid, there are some irregularities - perhaps they might be caused by terrain height or by distorting the grid to accurately cover the passable areas.
Other searchmaps are markedly different, though.
Part of Layered Character Testmap searchmap: