The Greymarch is an event that happens at the end of every era in the Shivering Isles, intended to wipe out the entire realm so that Sheogorath must rebuild it. It starts with the appearance of large crystalline obelisks that emerge from the ground. These obelisks produce and are the power source of Jyggalag's minions, the Knights and Priests of Order. The Greymarch is the end of the cycle that the Daedric Princes cursed Jyggalag to endure every 1,000 years. It is characterized by irresistible brute force, with very little in the way of subterfuge or any variation to previous methods.
It is unknown when the Greymarch first began. Long ago, before recorded time, the Daedric Prince of Order, Jyggalag, was growing in power and influence, spreading across realms and dimensions. The other Princes, growing fearful of Jyggalag's power, cursed him to become an embodiment of what he hated most: chaos and madness. The Prince of Madness, Sheogorath, was born that day. Sheogorath built the Shivering Isles, a realm reflecting his madness, and once every 1,000 years he would become Jyggalag once more to destroy and reclaim the Isles. At the end he would transform back into Sheogorath, who would be left to rebuild his realm.
The Champion of Cyrodiil arrived in the Isles in 3E 433 and took on the role of Sheogorath's agent. The Champion managed to defeat the forces of Jyggalag, ending the age-old conflict. The previous incarnation of Sheogorath was able to keep his role of Jyggalag permanently, while the Champion assumed the status of Madgod.