Citadel Cavitius is a huge fortress-city shaped like a giant skull, built on the border of the Quasielemental+Plane+of+Ash with the Negative+Energy+Plane, a place of extreme cold marked by the occasional diffuse clouds of drifting flakes, a place that drains away life energy as much as heat, a place called Empty Winter.
Cavitius was once, eons, ago, home to the Doomguard, but it was taken from them by the arch-lich Vecna. The Doomguard didn't build it, though - long before them, the citadel was constructed by some ages-lost race that worshiped death in a way even the Dustmen couldn't hope to comprehend. There are said to be places in it where even Vecna is afraid to go.
For a long time, Vecna mostly only used it as a prison, banishing his traitorous warlord Kas the Bloody-Handed to it, but eventually it became his stronghold as well... at least, until the mists of Ravenloft stole both him and Kas away.
Reports are that Vecna is back, but he hasn't tried to retake Cavitius. He's got a series of hidden fortresses on the Material Plane now. In fact, it's said that the Doomguard are back in the big hollow skull, if you can believe it.