********** Here there be Spoilers! **********
Darkness Returns is the last quest in the main Theives Guild questline.
- A Chance Arrangement
- Taking Care of Business
- Loud and Clear
- Dampened Spirits
- Scoundrel's Folly
- Speaking with Silence
- Hard Answers
- The Pursuit
- Trinity Restored
- Darkness Returns
You must journey to the Twilight Sepulcher and return the Skeleton Key to Nocturnal.
The Twilight Sepulcher is in the southwest corner of the map. I took a carriage ride to Falkreath and ran west past Cracked Tusk Keep to get there. Once inside you'll meet a Nightengale Sentinel who you should speak with. He mentions looking for Nystrom's Journal which you can find on a corpse just to the west of the Sentinel. It explains the Pilgrim's Path in a way (the quotes below are from the journal).
"Shadows of their former selves, sentinels of the dark. They wander ever more and deal swift death to defilers."
As you move through the area you'll find other Nightengale Sentinels that will be aggressive towards you, kill them and make your way to the next area.
"Above all they stand, vigilance everlasting. Beholden to the murk yet contentious of the glow."
You will enter an area that is very dark, and very bright. Stick to the darkness, as the light will hurt you. There are a bunch of wire traps throughout the darkness that result in arrows being shot at you. Be wary and take it slow.
"Offer what She desires most, but reject the material. For her greatest want is that which cannot be seen, felt or carried."
You will arrive at a statue of a woman with two birds (Nocturnal) and the corpse of a bandit in front of it. Behind her is a door that is activated by pulling the chains on the far side of the dragon heads flanking her left and right side. Pull both chains and the door will open and you can proceed.
"Direct and yet indirect. The path to salvation a route of cunning with fortune betraying the foolish."
The next section has swinging axes, I waited and used my Whirlwind Sprint shout to jump through. When you go to open the door a battering ram will try to strike you so open it and move back. Make your way through to the doors of the Twilight Sepulcher Inner Sanctum
"The journey is complete, the Empress's embrace awaits the fallen. Hesitate not if you wish to gift her your eternal devotion."
Follow the path all the way until you find a long drop into a well. Jump down and while you're waiting check out Anders corpse and grab the treasure and note. A few moments later you will automatically hold up the Skeleton Key and the floor will change beneath you. Replace the Skeleton Key in the Ebonmere Lock, and listen to what Nocturnal has to say. Talk with Karliah and learn about the Agents of Nocturnal (Strife, Subterfuge, Stealth) and the quest will be complete.