The other-worldly gates take you to the Daedric version of Hell -- Mehrunes Dagon's Plane of Oblivion.
Lava and a firey death awaits those who stray too far, while the vicious inhabitants are far from hospitable.
And infernal caves and mountains are only the beginning. Get through those and you'll have to contend with each Gate's Tower, up multiple flights of steep stairs.
Magicians and Warriors await you here, along with dangerous traps and black altars.
And at the top -- the Sigil Stone; the anchor holding the Plane in touch with Cyrodiil. Remove it and you can once more see the beautiful Imperial Province.
So how do you get through an Oblivion gate?
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EDIT: My favourite way to is to enchant weaponry and armour with each sigil stone. After I've got a good curiass, shield and weapon, it gets really easy.
If I can't get any good Sigil stones, my mage characters get to work using Cold enchantments on stuff and resist fire on rings. A permanent sheilding amulet is also really good, along with reflect magic on another ring.