Talk to Ser Rickart, near the southwestern gate outside Gran Soren

Ser Rickart: Beg pardon, Arisen. I'm sure this is a small matter, but I would yet have you hear it. I was at my post before the castle not long ago, when a strange man cam around asking after your whereabouts. Even more curious, when I told him I knew not, he swore me tell no one of our encounter. Have you some enemy, Arisen? His eyes were..mad. I shall never forget them... I beg you, be wary.

There is a brief cutscene after this dialog, and soon the quest commences:

Nameless Terror
Beware of Ambush

The air is thick with a sense of foreboding. Does aught lurk ahead in the shadows? Are you being watched?

You sense unseen enemies as you walk the streets. Keep your wits about you.

These ambushes happen at night.

Nameless Terror Ambush Locations

Northwest of Gran Soren
Near the bridge and the Catacombs Rear Passage 2

Mountain Waycastle
Just a bit north of the fort

Manamia Trail
Between the Mountain Waycastle, and Cassardis

Ancient Quarry
West of Gran Soren, near the north entrance to the dungeon

After completing the above four ambushes, your quest log updates to:

Nameless Terror
Defeat the Killers

The killers are located just outside Cassardis. Once you defeat them, you complete the quest, Nameless Terror.