This brings you to the Afterlife. Aetherius. Sovngarde. Alduin is here- you can spy him over the valley swooping and landing and launching again. He is here to devour the souls of the dead, and you will not be able to catch him- because the valley is full of obscuring mist. Your Calm Storms shout will clear a little of it, but not much- and only for a short time. Rather than worrying about it, follow the road into the mist and across the valley. Don’t climb the first stairs you see- they lead to nowhere at all. Instead go either left or right, which one doesn’t matter. As you pass through the mists, you’ll encounter a Stormcloak Soldier- he somewhat-ethereally rants at you about what’s going on. The mist is a tool of Alduin’s, it beleaguers and depresses the souls trying to pass here as well as obscuring the path, preventing them from reaching the Hall of Valor.
You can tell the soldier to follow you or not- it doesn’t actually matter. Forge on through the mist along the road and before too long you’ll come to the base of a bridge- the Whalebone Bridge. A large shirtless man named Tsun waits here, brother of Stendarr and shield-thane to Shor. He greets you as you approach, and bids you halt.
If you’re feeling really reckless, you can ignore him and run past, but he tries to catch you and, as if that weren’t enough, lightning strikes you from the sky repeatedly. This leaves your options as: stop until Tsun catches you, get crisped into dead toast, or leap off the bridge and break your neck in the afterlife.
Since none of these options are really all that appealing, just talk to the man. He’ll greet you with some verse, which comes in five flavors- Normal, You’re the Head of the Companions, You’re the Head of Winterhold College, You’re the Head of the Dark Brotherhood, and You Lead the Thieves’ Guild.
In the end, though, there’s only one route this can go: to enter the Hall, you must pass the Test of the Warrior. Tsun administers this test- by using his axe to cut you into steaks! Fortunately, this battle isn’t too hard. You don’t have to kill him (a daunting task once you realize how much health the guy has), you can use any and all skills, items, magic, and shouts you have at your disposal, and he mostly just chops at you and Shouts Fus Ro Dah.
Once you’ve injured Tsun enough to impress him, he’ll put away his weapon nd agree to led you cross the Bridge as you have fought well.
Be careful when crossing the Whalebone Bridge. Not only is it rather narrow, but the ribs are very uneven, and the spinal ridge takes up a good third of its width. It’s remarkably easy to accidentally fall to your death here- kind of humiliating after all the trouble you’ve gone to in order to arrive, and being judged a worthy warrior.