What if you send the players in a dungeon that was already raided? Maybe you could have traps that are already set off, or the corpses of monsters etc.
A place where an architect has built a temple/shrine to an evil god inside the walls of another building, a castle or another place of importance.
A rather large armed group slowly walks the road. Unless you get to see what they transport, you could think it is a caravan with expensive goods, or the soldiers escort someone important. But this is a prisoner transport, on the way to mines, criminals on their way for punishment.
The soldiers may be willing to talk, the captain will have a few questions on you and the road, but they will keep distance, and part soon.