The World-Eater's Eyrie

Walkthrough
Trying to track down Alduin, Odahviing a fellow dragon, is lured to Dragonsreach and trapped. Some investigation reveals that Odahviing indeed is not averse to helping the Dragonborn find Alduin, provided he is freed first.

Farengar Secret-Fire will show up, intrigued by the trapped dragon, wanting to perform some experiments, that will not be "too painful"... greatly unnerving the still trapped Odahviing.

Set Odahviing free
Talk to Whiterun Guard on the upper battlements to set Odahviing free.

Talk to Odahviing
Odahviing offers to carry the Dragonborn to a place that only dragons can fly to, to Skuldafn, high up in the mountains in a secretive canyon. Any possible follower will have to stay behind though.

Reach Alduin's portal to Sovngarde
Passing through the canyon and ruins many draugr and even a couple of dragons will need to be overcome, until finally reaching the portal guarded by Nahkriin. His staff will open the portal.

Enter Sovngarde
Enter the portal and make your way to Sovngarde.

Der Hort des Weltenfressers