I remember this one article on the UESP that was deleted that was a list of fun things to do in Oblivion. One of them was the don the Gray Cowl of Nocturnal, speak to Hieronymous Lex, punch him in the face and run off.
XD No, apperantly I'm married to this douche in my class named Noah. Normally a person shouldn't hear about her own marriage via a phone call from her best friend and a facebook status update. Am I right? And since when does the husband choose the bridesmaids? XD Stupid Noah. I hate him! WE SHALL ELOPE! XD
If you find the little notes while doing the thieves guild quest it explains that the Cowl was cursed by Nocturnal when it was stolen from her. Which makes the person who wears it lose their identity in the mask. Upon reading the Elder Scroll the curse was broken, others still will not know who you are but you still do.