The introductory note describes a pilgrimage as ... a journey to a holy place.

In the European Middle Ages this meant a trip to a Christian, a Catholic shrine. Used in the literal sense a Pilgrimage is a religious thing. You go on one to attempt to make up for your sins or to be healed or find answers or for some other spiritual reason. Aegeus uses the word as a metaphor for life. You move from birth to death in a strait line like a literal pilgrim going from point to point B. The suffering and trials of life serve as a constant spiritual cleansing as opposed to making sacrifices or repenting on the journey. His speech relates to the poem as a whole because of the suffering the characters are put through in pursuit of their goal. And even when one of them gains the prize (Emily to be specific) it doesnt last forever. One of the big differences between the way the word is used in the Introduction Notes and the way it is used in the knights used is the level of involvement implied. Aegeus uses it in a way that implies total passivity in pilgrimage while The introduction says that it demands active participation. An interesting note is that religious pilgrimage was common in the real ancient greece as well as in the middle ages. Instead of taking a pilgrimage to a Catholic shrine or church they Greeks went to the Oracle of Zeus in the city of Dodona or to Delphi.