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There are time periods where large numbers of ronin flocked to Edo, and roamed the Japanese countryside looking for some source of income; generally during and right after the Senegoku period and around the Meiji restoration. Many of them took to banditry, or launched rebellions, or committed suicide.
Were there incidents of them going outside Japan to fight as mercenaries or to colonise lands in Taiwan or Philippines etc.
Yes, there were. Below are examples from Siam, the Philippines, China, Mexico and Indonesia.
Ayutthaya (Siamese Kingdom)
Probably the best known one was Yamada Nagamasa (born 1590, died 1630) in the Ayutthaya Kingdom. Over a period of 15 years, he
...rose from the low Thai nobility rank of Khun to the senior of Ok-ya, his title becoming Ok-ya Senaphimuk....He became the head of the Japanese colony, and in this position supported the military campaigns of King Songtham, at the head of a Japanese army flying the Japanese flag. He fought successfully, and was finally nominated Ligor (modern Nakhon Si Thammarat), in the southern peninsula in 1630, accompanied by 300 samurai.
"Army of Japanese adventurer Yamada Nagamasa in Siam. 17th century painting". Source: Wikipedia, File:NagamasaArmy.jpg
The Philippines
Ronin also took part in the Cagayan battles in 1582 in the Philippines. Fighting alongside Chinese and Filipino pirates, they were beaten by a Spanish force under Captain Juan Pablo de Carrión.
There was also a Japanese settlement in Manila, Dilao (now Paco), populated by "merchants, mercenaries, sailors, castaways, and survivors of shipwrecks" and dating to at least 1593. In 1603, they helped the Spanish suppress the local Chinese during the Sangley Rebellion when around 20,000 Chinese were massacred; although ronin are not specifically mentioned, the presence of some at least seems likely given that the local Japanese troops were highly valued and noted for their military discipline. The Sangley rebellion is dealt with in some detail in José Eugenic Borao's The Massacre of 1603 Chinese Perception of the Spanish in the Philippines (Itinerario, Volume 22, Issue 1 March 1998 (C.U.P.).
In 1614, at least 300 exiled Japanese Christians settled in Dilao, among them the samurai Iustus Takayama Ukon. However, he died soon after his arrival in Manila, but
Thousands of Japanese converts, traders, and ronin made the Philippines their home prior to the closing of Cipango to Iberians in the 1630s. They lived in a suburb of Manila called Dilao, with a population estimated at 3,000 by 1624.
Source: Edward R. Slack, Jr., 'The Chinos in New Spain: A Corrective Lens for a Distorted Image'. In Journal of World History, Vol. 20, No. 1 (Mar., 2009)
Mexico
Following up on the thread provided in @Geoffrey Bent's comment, Diego de la Barranca was among a number of Japanese Christians who settled in Mexico.
A document from 1666 to the royal exchequer of Veracruz discloses the intriguing story of Don Diego de la Barranca and his family. Hailing from a place called "the canyon" in his native Japan, Don Diego passed through Mexico as an ambassador on his way to the Spanish Court and ultimately Rome sometime between 1614 and 1620. When he returned to New Spain, he settled in Veracruz and married a Spanish woman named Maria Josepha Isabel Ana y Bonifacio, with his two sons Juan and Bernabé from a previous marriage. Diego de la Barranca served as a soldier "en las companias de Españoles" at Fort San Juan de Ullua, and was at some point ennobled with the title of "Don." Because of his social standing and long service to the king, Don Diego and his sons were exempted from paying tribute and were permitted to carry a sword and dagger (samurai weapons known as the katana and tono, respectively). Serving alongside Spaniards in the royal military establishment, marrying a Castilian, and obtaining a measure of equality with whites in the race-based social hierarchy of New Spain makes the case of Don Diego de la Barranca very unique indeed.
Source: Edward R. Slack, Jr., 'The Chinos in New Spain: A Corrective Lens for a Distorted Image'. In Journal of World History, Vol. 20, No. 1 (Mar., 2009)
Just how many samurai made it to Mexico is unclear; sources tend to include them among Chinos, a highly diverse group of Asians (especially Filipinos and Chinese) in Mexico. Charles Mann, in 1493: Uncovering the New World Columbus Created, mentions "scores, perhaps hundreds", and notes that, unlike other non-Spaniards at the time, they were allowed to carry weapons (katanas and tantōs) to "protect silver shipments against the escaped-slaves-turned-highwaymen in the hills."
China
The Wikipedia article on the Kirishitan, "a historiographic term for Catholics in Japan in the 16th and 17th centuries" refers to a report sent to the King of Spain by the Portuguese Jesuit missionary Francisco Cabral stating that
priests were able to send to China two or three thousand Japanese Christian soldiers who were brave and were expected to serve the king with little pay.
It appears that some Japanese Christians also went to Macao around 1614, although I've found no evidence that they went as soldiers of fortune.
Indonesia
In addition to the 1621 Banda Islands example mentioned by Scott in his answer, Japanese mercenaries were bribed by English merchants on Ambon Island to spy on Dutch defenses.
In 1623, the Dutch governor of Amboyna, an important clove-producing island in modern-day Indonesia, executed a group of English merchants and Japanese mercenaries accused of plotting to seize control of the VOC castle on the island.
Source: Adam Clulow, 'Unjust, Cruel and Barbarous Proceedings: Japanese Mercenaries and the Amboyna Incident of 1623'. In Itinerario, vol.31 (1) (2007)
The Amboyna massacre came about after
one of the Japanese mercenary soldiers (ronin, or masterless samurai in the employ of the VOC) was caught in the act of spying on the defenses of the fortress Victoria.
Then,
After torture, the mercenary confessed that he and a group of fellow Japanese soldiers were part of a conspiracy to seize control of the castle. He claimed to have been bribed to this object by English merchants who lived on the island.
Source: Clulow
This mainly took place in the "interregnum" between the Muromachi (ended 1573) and Tokagawa periods (began 1603) when there was a power vacuum that left a lot of samurai "stranded."
As in the answer to another question, this occurred in Thailand, where the king had originally hired samurai as mercenaries, but they tried to take over his kingdom. Isolated incidents also occurred in the Philippines. Unlike later, 20th century actions, these occurred without support of the Japanese government, and were individual initiatives, as opposed to part of an overall colonization scheme.
Other actions, in modern Indonesia, appeared to take place at the behest of the local (Dutch) government.
The Dutch hired Japanese mercenaries to conquer the Banda islands in 1621. They were not gentle.
@Tom Au alludes to this, I think.
