The Holey Grail is found in the Holy Cave in the Swallows. In order to obtain it, you will meet ends with the Dark Knight after getting through the rest of the cave. You then have two choices: fight him or answer a few riddles. Whichever you choose, you will eventually be able to find the Holey Grail in a sarcophagus if you accomplish defeating the Dark Knight (tough enemy) or solve all three riddles. NOTE: You are required to finish the quest Video Ergo Sum and have the Oculus placed in you in order to see the flashback leading to the cave.