A Watery Grave
Oblivion: Dark Brotherhood Quest
Your mission is to kill the captain of the "Marie", a pirate vessel which is docked in the Imperial City Waterfront.
You're very quickly warned by the pirates that they'll attack you if you board the ship. You have three options to proceed.
On the docks to the left of the ship's plank are some boxes. You may hide in one of these and sneak your way up to the captain, possibly taking out a couple of pirates on the way.
If you have high enough spells or security skill, you can also wait until about midnight and drop down onto the back of the boat, where you can open the captain's door (Very Hard Lock) direclty.
The easiest way, though, is to approach the ship in broad daylight. The pirates will, of course, see you and attack. However, they don't pose much of a threat because as soon as they come after you, the Imperial guards will go after them. Help the guards out or simply watch them eliminate the pirates. After that, simply walk up to the door to the captain's quarters on the ship and enter. There's no bonus on this quest, so it doesn't matter how it is fulfilled.
The captain himself is not too difficult. You may find it easy to fight him by running around the table in his private dining room. This gives you a chance to heal any wounds, and also to cast ranged spells accross the table, fire arrows or stab at him him with a longsword.
Some pirates may show up during or after the fight from below deck. If they do, either take care of them also, or head out onto the deck where the guards will take them out.
Return to the Dark Brotherhood sanctuary and speak with Vicente. He's pleased with your work and awards you the Black Band. Your next quest is Accidents Happen.