Now it's just a short trek north to the caverns. Start by fast traveling to the Black Waterside Stables outside of Cheydinhal, since the caverns are just north of here. You cannot fast travel directly to the cavern if you have not been there before.
The Shrine of Dagon is located in the Lake Arrius Caverns, which is west of the Imperial City and north of Cheydinhal. The Elder Scrolls IV: Oblivion Guide - Main Quest Walkthrough Dagon Shrine
