Yes, the main Dark Brotherhood Sanctuary in Cyrodil is based in Cheydinhall. It's where you obtain Dark Brotherhood contracts from Ocheeva and Vicente Valtieri. You can find the Cheydinhall Sanctuary under the Abandoned House east of the Great Chapel of Arkay. To join the Dark Brotherhood in The Elder Scrolls IV: Oblivion, the Hero of Kvatch must kill an innocent NPC and sleep in a bed. The player will awake to Lucien Lachance explaining that the murder has pleased the Night Mother and will give you your first Dark Brotherhood contract.