Soul Cairn is a huge zone. There are many side quests to do around the Soul Cairn. Explore it fully and talk to all the souls.

One of the souls you talk to asks for your help in finding Arvak, his loyal horse. This  begins a side quest (Under Miscellaneous):

Find Arvak's skull in the Soul Cairn

Set the Misc. the objective as active and follow the marker on the radar. (note: the arrow won't appear until you are closer to the skull). Go towards a floating tower.  Arvak's Skull is on top of a pedestal surrounded by pillars, just go east from the castle where you met Valerica. It is guarded by some Mistman.

See screenshots below for help:
Skyrim Dawnguard Arvak Skull Location Flaming Horse
Skyrim Dawnguard Arvak Skull Location Flaming Horse
Skyrim Dawnguard Arvak Skull Location Flaming Horse

Return the skull to Arvak and he gives you the ability:

Summon Arvak
Summons Arvak in the Soul Cairn or Tamriel Wilderness to act as your steed

Arvak is a very cool flaming mount.

Near a ruined structure, you also meet a soul called Morven Stroud, a former trader who wants you to gather 25 Soul Husks, and in return he will sell you whatever wares are left in his carriage. He sells you some weapons such as a Steel Sword. None of the weapons he sells are really spectacular, so its probably not worth it to waste time gathering those soul husks.

Location of Jiub
To find Jiub, go through the big wall that cuts Soul Cairn into two pieces (north and south). Then go east past two soul wells,  turn left and go past three more soul wells. Keep going in the same direction and you will see a house, look for the soul a bit to the right of the house.

The soul, called Jiub tells you he cannot write his Opus with all of these rude interruptions. He had lost all of his pages. He asks you if you have heard of "The Rise and Fall of Saint Jiub the Eradicator: Hero of Morrowind and Savior of the Dunmer". He does not appreciate your suggestion of a shorter title.  He wants you to find all the pages he lost. This starts the side quest:

Impatience of a Saint
Find pages from Saint Jiub's Opus

These pages are all around the Soul Cairn. Try the directions below to find a specific page. If you find the page in a different place, or if you need more help finding a specific page, please leave a comment telling us where.

Saint Jiub's Opus Pages Locations

Jiub's Opus Page 1: Near the big wall, up some stairs. If you cross the wall going south, turn left immediately (facing east) and follow the wall until you get to those stairs.

Jiub's Opus Page 2: Laying near a chest in the area just to the left of where you meet Valerica. Approach the big castle from the SW and through a small corridor to the North of where Valerica is.

Jiub's Opus Page 2

Jiub's Opus Page 3: From the opening in the main wall, go west towards a building and enter through a small opening. Continue towards the structure with the big purple crystal hovering above. The go up two flights of stairs, and find the page near a chest on the roof.

Jiub's Opus Page 4: In an alcove to the Southwest of he floating tower. Go east around the castle, climb a staircase going north and another staircase going west. Find page 4 near a chest there.

Jiub's Opus Page 5:
Near Soul Well to the NW of the Reapers Lair. That's just south of where Jiub is. There is this wisp circling around the Soul Well.

Jiub's Opus Page 6:
Go southwest from the center of the main wall to a small building with a soul well near it. Inside, find page 6 near a chest.

Jiub's Opus Page 7: South of a floating tower where the Keeper fight occurred, where you took the teleporter to the fight, head south and up the stairs and find it there. If you go east from where you found page 4 past a soul well with several souls seating around it, keep going east and climb some stairs, and find page 7 near a pedestal.

Jiub's Opus Page 8: Near the starting area of Soul Cairn there is a magic gate which can be destroyed by casting magic on the two orbs near it. Any spell should do. You can also shoot arrows at it. Behind the gate you will find page number 8. This location is to the Southwest of where page 6 was.

Jiub's Opus Page 9:  Top of a Maze like building. walk through the maze building (which is north westish from the boneyard) till you come to one of those purple will take you to the roof on the roof is a crystal hovering over a chest the paper is on the west side of the chest laying up against it.

Jiub's Opus Page 10: Where you met Morven Stroud, the Soul Husk Merchant. This is east of the wall. Look on top of the barrel near his carriage.

Jiub's Opus Page 10 Danwguard
Jiub's Opus Page 10 Danwguard

Possible bugs/glitches: Careful not to kill enemies to close to the pages. Users have reported that enemies that die right on top of the page prevent you to pick that page up. Also careful not to knock page 10 into the barrel.

As a reward, you will get the Locket of Saint Jiub (increases carrying capacity by 50 points and stamina by 50 points), and a copy of Saint Jiub's Opus.