It's the beginning of the end. You'll get this mission from Captain Scarlett after completing the mission "Whoops!"
True Vault Hunter
Money: 8 Eridium
To get to the Magnys Lighthouse, travel to the far SW corner of Wurmwater. You're going to have to fight your way through this camp to get to the Magnys Lighthouse. Make your way through the camp and watch out for a large ladder leading up to a sort of lookout point above. Climb the ladder and on the other side of the lookout point will be a lever that will open the gate ahead of you. Pull the lever and jump down. Go through the gate to get to the Magnys Lighthouse.
When you first get here, there are vending machines off to the left. Stock up if you need to and continue across the bridge to find a Pirate Camp. You'll probably want to approach this camp slowly because it's pretty dense with all sorts of enemies including the new Harpooners and Mine Layers. Go up the right side of the camp since it's a little less dense and you can find cover there.
Kill each batch of enemies before moving up, including all the Buccaneers, Pirates, and Swabbies that come at you. Move up slowly towards the north and as you approach the stairs leading into the cave, you'll find more pirates and corsairs. Inside the cave will be a small nest of stalkers. Thankfully it's only one nest and if you've done the mission "Man's best friend", you are likely familiar with this particularly brand of Stalker.
Kill them and climb up the sand ramp to exit the cave. You'll come out to a ledge that runs along the west side of the cave system and leads around to the north. There are a lot of enemies along this section but you've got a lot of room and a lot of cover so take it slowly. Again, you'll be attacked by Anchormen type enemies. Fight through them and watch for the path to lead back into the caves.
Enter the caves and it'll quickly come to an intersection. Follow the path to the left and exit the caves. Up ahead, you'll be able to see the large elevator platform that you're headed for. Once you've activated the elevator, Anchormen, Harpooners and Minelayers will appear and attack you. Rather than fight them, jump over the edge to the left and you'll see a sand skiff ahead of you. Check that for the last Message in a Bottle mission. Return and kill whatever enemies you can before climbing back up to where the elevator is likely now waiting. Climb on and pull the lever to ascend.
At the top, you'll see the lighthouse in the distance. It should be a leisurely stroll to the lighthouse and once inside, there will be another elevator to take you to the top. When you reach the top, you'll have to climb a ladder to the lighthouse mechanism. Find the glowing spot and insert the compass. Use the compass again to start the mission "X Marks the Spot".