THE BLACK MILL
There's one last thing to do: kill the mastermind, The Conjurer!
Now that you have restored the four Elements in their Shrines, you can go to the side passage in the Terra area of The Pit (you probably explored it before, when you defeated the goblin army) and visit the advance party of legionnaires. You'll notice that the magic wall has gone, and the Ordinator Captain too. Go into the passage, into the Underground area of the Black Mill, and run towards the sounds of battle - the Ordinators need your help! Kill the goblin enemies, but take care not to hit an Ordinator, or you might get expelled (even if you're a Patriarch - it happened to me!).
The Ordinators won't accompany you, so go on alone and explore the rooms there; you'll find more goblins and goblin handlers to fight. The door at the end is heavily locked, but of course there is a key somewhere. It's sneakily hidden beneath a jug, in the room closest to the locked door. Btw there's also a hidden door close by, but I'll get to that in a minute.
Unlock that door and you'll enter a cave with some pretty waterfalls; to the right are more caves. Fortunately you can levitate here. On the far end is a cave with some mummies, and a dreugh shield. It will probably be of little use to you, but go right ahead and take it if you want.
There are more caves around here, but you have to go up, way up... In one of the caves is a goblin guarding... nothing? There are only some blank walls here, but there's also a Heavy metal ring you can pull.
Go back out of these caves and through the unlocked door, the hidden door to your left will be open now. But hold on, don't rush in; there are several traps here. The patch of floor in front of you does look suspect, doesn't it? Jump across and stand still again, to wait for the right moment to get past the swinging axes.
Now you can run upstairs and open the door. There are several tough enemies in the room, one of which you haven't seen before: it's a Soulreaper. That guy likes to summon storm atronachs and then attack you together. This is just a foretaste of what's to come.
Go into the next room and through the trapdoor, into the Black Mill itself. Finally.
There's nothing on the first floor, except time for you to prepare for battle. Go up the stairs to the second floor, there's one Soulreaper guarding a ladder with a trapdoor.
On the third floor there's a ring of mummies hovering in mid-air, and a body in the center - the body of Hasib! It is guarded by a pair of Soulreapers, you'll have to kill them first. Then, something happens with Hasib's body: a head with four faces will appear, an apparition of The Conjurer. Talk to it to hear him brag, then prepare for a big fight as soon as you say "Goodbye".
The new enemy is very quick, so it'll be hard to avoid him. So just do your best to defeat him in close combat. After the fight Lady Stadi Galanos will appear, to give you some hints about what you need to do next.
The Soulreapers upstairs are different, they'll throw hard-hitting skulls at you. It's best to be quick and kill them in close combat, or evade the skulls and kill them with a ranged weapon. On this top floor you'll see an arched door you need to go through.
You'll enter a large room with a long walkway, and Hasib (the "bad" side of him, as Lady Stadi explained) is blocking the way. But don't kill him! If you can, sneak past him; or make him come to your end and endure his attacks while you get past him. A better idea might be to lure him your way and then run up the ramp to your left, then jump off and onto the walkway. He won't be able to follow you, and you won't have to hurt him.
On the far side there are two skull-throwing Soulreapers. Their aim is quite inaccurate, so it should be quite easy to kill them from a distance, since they can't find their way onto the walkway. Or just run up to them and finish them off quickly. If you're very stealthy, you might even pass them unnoticed.
Behind them is a huge hall and two more Soulreapers, the summoning kind this time. Kill them and walk to the right, because your main enemy is waiting there for you at the end.
He won't do anything at first, he's willing to talk - but only to tell you you'll die! That's something you can't agree to, of course, so just say goodbye to him permanently. Actually you don't even have to talk to him, you could strike first to get a head start. (Or kill him outright, which is a remote possibility.)
He'll summon a pair of daedras (a Golden Saint and a Dremora Lord), so unless you're very strong and skilled at close combat, and well supplied with lots of potions, it's best to back away and avoid the nasty spells that The Conjurer will be casting at you. If you use spells or enchanted weapons, be aware that The Conjurer and both his temporary minions use Reflect a lot; so it's best to use something that won't hurt yourself (like Frost Damage for a Nord), or just a bow with silver arrows and other unenchanted weapons. Or take the damage and swallow a lot of those Restore Health potions you've been collecting. And Restore Fatigue will also be very useful, since you'll probably run around a lot, heheh. Anyway, enough about tactics. You can figure it out for yourself.
After awhile Hasib will come to his senses and be willing to help you. He might be useful to distract The Conjurer, who'll be concentrating on you, but most probably he'll still be stuck behind some pillars or something, which isn't very helpful to you now.
As soon as you have defeated The Conjurer, Lady Stadi will appear (at the end of the hall) and declare victory. At the same time she'll teleport you to the Inner Sanctum of the Cathedral, where Reverend Xanondorf will give you a nice reward: a home of your own, here on Sunset Isle! It's a very nice place, with display cases and mannequins to display your trophies.
Be sure to read the books you'll find there, they're essential reading as far as I'm concerned. 
THE END
... or is it? Maybe you didn't take enough time yet to take a look around on the island and do a sidequest or two? Anyway, enjoy your stay on Sunset Isle!