Yeah it's an quest that's not listed anywhere. Once you collect all the masks, you get an even more powerful mask that, among other things, can summon a Dragon Priest to completely devour your enemies whole. It's a quest that spans the length of the game though, since you need to finish the Main Quest to get two, and the College of Winterhold quests to get one. The rest are kinda scattered about, there's eight in total iirc.
As for actually using them as armor, on my first character I inadvertently stumbled upon Dragon Priest high on a mountain at a Dragon Lair, and his mask granted like 20% Lockpicking/20% Alchemy/20% Archery, which for a sneak archer was like YEEEEEAH at early levels.
Thanks for the unwanted spoiler !
Please refer to this forum's name. What did you expect?
