The Four Great Souls belong to the Four Old Ones, which are:
The Lost Sinner (Sinner's Rise),
Old Iron King (Iron Keep),
The Rotten (Black Gulch),
and Duke's Dear Freja (Brightstone Cove Tseldora).
Collecting these 4 souls will allow progression through Winter's Keep into Drangleic Castle. The final area through this route is Undead Crypt where the boss is Velstadt, guard of King Vendrick. Near to Vendrick is the King's Ring, needed to gain access to Aldia's Keep, Throne of Want and Dream of the Giant.