A death march, or 'march of death', is a special event where players get the opportunity to run with a god. The god fills a group role, typically leading and acting as a tank, helping to protect the group, but, other than this, the players are on there own. Even though the god is tanking and can't be killed, death marches can still be dangerous and mortals do die on them. Players are advised to join at their own risk.
This style of event has its roots in early game history. Roan's March of Death, where massive groups of players and sometimes gods would rampage through the game world and slay everything in their path, were spontaneous, informal events that occurred randomly and infrequently. The tradition was revived by Shadowfax and began anew in 2009, with official death marches taking place from there on out.