When entering Sovngarde, walk down the stairs, and there will be a Stormcloak soldier. He'll say that he can't reach the Hall of Valor due to the deadly mist. In this mist, Alduin hunts for lost souls to gain power. After the conversation, follow the path through the mist. If you chose to help the Stormcloak, he will be devoured. Note: You can clear the mist using the Clear Skies shout.
Note: the soldier does not always start in the beginning, and there is a good chance the soldier will not be encountered until part way through the mist. Do not worry, the mist will not engulf you as you speak with the soldier.
If you have killed Ulfric, his soul will be here, saying "we can't get anything done in this fog" and will tell you to turn back. Also, Galmar Stone-Fist can be found saying "Dragonborn, even in death you dog my steps?" "How come you're here? The king of this realm will cast you out - cursed be your name by all sons of Skyrim, with scorn unceasing."
Conversely, if you followed the Stormcloak quest, Rikke will be here if you killed her.
Also, If you have finished the Companions quests, Kodlak Whitemane will be wandering in the fog. Occasionally, you will also meet Ysgramor in the Hall of Valor.
If you've completed the Bards' College quest Tending the Flames you can see Svaknir, who wrote the verse you retrieved, along your path.
When you reach the end of the path you will see a giant building on the other side of a whale bone bridge. This is the Hall of Valor . In front of the bridge stands a guard, Tsun. He will test you if you're strong enough to enter the Hall of Valor. He can be quite hard for low-leveled players. If you are unable to defeat him, simply jump on the rock where he can't reach you and hit him with arrows or spells. If you plan on using melee weapons, move to the water source and stay in the water. Tsun is afraid of the water for some reason, so you can easily beat him by attacking him from the water. When his health reaches about 60%, he will yield and allow you to cross the bridge to the Hall of Valor. If you try to skip the test, you will die when you walk on the bridge - even if you have god mode on with console commands. One method for defeating Tsun is to simply use Storm Call and run away, avoiding his swings and letting the lightning bolts whittle away at his health.
Heroes of Sovngarde
When you enter the Hall of Valor you will be met by Ysgramor himself, and told to speak to Gormlaith Golden-Hilt, Hakon One-Eye and Felldir the Old - the three heroes who defeated Alduin in the past. They'll be a bit further down the hall. Talk to them and they'll help you defeat Alduin.
If you wander around the hall you complete the Sovngarde quest automatically and start Dragonslayer quest. The three heroes still help you.
Sovngarde resembles Asgard in Norse mythology while the Hall of Valor resembles Valhalla, a giant eating hall reserved for warriors who had died valiantly.
When encountering the Stormcloak Soldier in the mist the player has the option of leading him through the mist to the Hall of Valor. But halfway through the mist, Alduin can land and grab the soldier, and throw him - seemingly killing him (again).
There is a Dragon Wall along the path through Sovngarde. It is blocked off with stone rubble, however, it is smaller than normal ones and even after Alduin's defeat, it appears to be inactive and unreachable.
Other characters, all labelled "Hero of Sovngarde", will be wandering around the great feast hall remarking upon the food and mead, boasting of heroic deaths, and will particularly note that their god is absent, as his light would blind the player (who is still valiantly mortal). The food in Sovngarde can be taken or eaten by the player, the god's throne sat upon without incident, and the Ox Head at the feast can be taken as well (although it's not actually edible).
There are references to Bloodmoon's quest Betrayal at Brodir Grove. The character you kill to grant him entrance to Sovngarde in that quest is Ulfgar the Unending, who is one of the NPC heroes in the Hall of Valor. Erlendr, Hunroor, and Nikulas, are the three standing stones at Brodir Grove.
Out of all the characters that can be found in Alduin's mist Kodlak Whitemane and Ulfric Stormcloak (or Legate Rikke, depending on the dragonborns side in the war) will be seen after Alduin is defeated. This indicates that the other souls were likely to have been devoured by Alduin.
If you freed Svaknir during the Bards' College questline, Olaf One-Eye will speak to you about your deed. "You freed Svaknir, a fool of a poet, but an honest enemy who has earned my respect." "Sadly, he's now lost in the soul-snaring mist - defeat Alduin, and his doom avert - I hope to greet him in this Hall as a friend."
If the player finished the guild questline for the Companions, College of Winterhold, Dark Brotherhood, Nightingales, the Blades, or the Thieves Guild, the player can tell Tsun that he/she wants to cross the bridge to the Hall of Valor for a different reason other than being Dragonborn.
If returning to The Hall of Valor during the fight with Alduin, the entrance has been locked.
Sovngarde's sky resembles the Skills menu, as the scenery displays the Warrior in Red, The Thief 'in' Green, and the Mage in Blue. You will not see your Perk trees though.
If you try to get to the Hall of Valor before fighting Tsun you will be killed either by lightning strikes or by instant death when reaching the end of the bridge.
After acknowledging Tsun, if the player jumps from the bone bridge, the player will have an instant death at half way (this will happen even if the player uses "Become Ethereal" shout)
Before completing The Companions quest line, Kodlak Whitemane can be heard saying "Sometimes I dream about the mists of Sovngarde", a reference to this mission.
There is a unique soundtrack during this quest, which resembles the chanting of the Dragonborn Theme, only darker and slower. (There is no unique battle soundtrack, though.)
At the end of the quest, before Tsun sends you back to Skyrim, he says "Perhaps one day we will meet again, and I will bid you join the feasting." He says this regardless of the player's race, even though Sovngarde is reserved for Nords.
Bugs
Tsun might be 'invincible' at some versions of the game, e.g. He'll be bending down on the verge of death with a few strikes but does not yield. To fix this, use the following console command:
setstage MQ304 150
This will make Tsun 'acknowledge' you and allow you to pass into the Hall of Valor.
The mist may either disappear entirely or appear as a very patchy and crude-looking mask over the player's view, ruining the effect. (Observed on a system with an Nvidia GeForce GTX 560 Ti immediately after the upgrade to driver version 285.62 and confirmed still not working on beta driver version 295.51, February 20, 2012.)
As you run along the path with all of the mist, it is possible that the mist will disappear as you run (PS3)
sometimes if you run past tsun onto the bridge without defeating him it will state in your quest log that you have defeated him and he will stop attacking you (xbox 360)