Open the world map to go back to the [Eternal Throne]. There, approach the door to the throne room (the above screen) to trigger a cutscene with the Lord of Bones. The rewards for completing the quest are 2350 XP and 10000 gold. Apart from that, you'll also gain a new ability - Soul Splitter (controlling two halves of Death's soul), and a new main quest [The City of the Dead].
[TIP: Acquiring Soul Splitter means you can now go to new locations. It's doesn't make any difference if you've only been completing main quests so far, but it's useful to know if you've tried exploring optional dungeons.]
[TIP: Soul Splitter is an ability activated from the drop-down menu after pressing the TAB button. It's used in the solving of puzzles - when Death takes the form of a stone, two halves of his soul can move in the area around him and perform separate actions. Luckily, these halves aren't defenseless; they have the same set of skills, both offensive and otherwise.]