One of the guys told me not to kill the thing in the Watcher's Keep. What will happen if I leave it or kill it? Spoilers are welcome. In other words tell me what happens.

SPOILER!
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The thing you are supposed to kill is very dangerous ;)
You should be pretty high level to kill him.
Of course there are alot of tactics for defeating him out there..
But I won't spoil it to you, since it is a very interesting surprise, and a fight well worth.
Though my opinion is that you should try to kill him.