The Prophet

From the OblivioWiki – your guide to everything Oblivion

This quest, location, item, or NPC is part of the "The Elder Scrolls IV: Knights of the Nine" official plug-in or expansion.
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The Prophet is an old man in Anvil who preaches that Umaril, an ancient sorcerer-king, is coming to seek vengeance upon his enemies. By speaking to him, you begin the Pilgrimage quest. His name is never given, and it is possible he may even be an avatar of Talos, though this is only speculation.

Spoiler warning: Plot and/or ending details follow.

After you finish the Knights of the Nine questline, he mysteriously disappears.

Spoilers end here.