The Road of Remembrance is a road on Aiur stretching for several kilometers west from Antioch to the ruins of a xel'naga temple. The road itself came into existence after the Aeon of Strife, constructed as a physical representation of the Khala, literally acting as a "path to ascension".
The ritual of bearing honored dead down the road however, dates back to during and most likely before the Aeon. All honored protoss, regardless of their caste, were entitled to be taken down the road after death. After lying on a dais under the sky for a day and night, the body was transported to the temple.
Golden, Christie. StarCraft: The Dark Templar Saga #2: Shadow Hunters. Pocket Star Books, November 27, 2007. ISBN 0-7434-7126-1