Behind the door is a word wall, containing one of the words to the Storm Call Thu’um.  This shout is very powerful, but also very dangerous- it strikes indiscriminately at random with lightning, so while it’s especially deadly against dragons (who apparently make excellent lightning rods) and in fights with many enemies, it’s unfortunately likely to fry not only your faithful followers, but you yourself as well.

The embalming chamber nearby holds some useful items- most notably a set of high-effect recovery potions and a handy axe- but beyond that you’re done with the inside of the temple.  Exit through the last door, and you’ll come to the top of Skuldafn.  This is where the real danger strikes.

On exiting and climbing the stairs, you’ll spot a floating robed shape atop a set of stairs between you and the gate to Sovngarde.  This is one of the dread Dragon Priests, powerful floating spellcaster Draugr who will ruin you if you let them catch any slack.  Spellcasters should start assaulting it the moment they’re in range, and anyone with a melee weapon will want to charge it at full speed and lay in as many power attacks as possible as quickly as possible.  If you let the Dragon Priest get a break for more than half a second, it will ruin your day quite happily.

Worse yet, a pair of dragons frequently lurk on the carved columns to either side, so if you’re too slow or incautious about destroying Dragon Priest Nahkriin, you’ll have three major foes on your hands at once- a quick recipe for death since you have no Follower nor even a dog with you.

If you’re fast enough on the assault, the dragons won’t have time to accost you before you’ve slain and looted Nahkriin, who carries the Dragon Priest Staff you need to open the portal to Sovngarde.  In possession of the staff, run up the stairs to where Nahkriin was at first and use the socket- the staff fits perfectly and opens the portal once again.

You are at your leisure to either slay both dragons here (a difficult fight) or just hop through the portal (probably better- you have limited resources right now, and you’ve been fighting plenty of dragons to gather Dragon Scale, Dragon Bone, and Dragon Souls, it’s unlikely you need more of any of those that badly).  Be aware though, that you can only visit Skuldafn once- so if you left anything behind that you like, you should go back and get it now.  Otherwise, it’s just gone when you go through that portal.