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Have them wake up naked and cold in a prison cell, with no idea how they got there. Shortly thereafter, have the prison come under attack by a small contingent of highly trained men at arms who have come to rescuse/liberate their leader. In the process of doing so, several other prisoners are able to escape, including the PCs. From here, they can either
A) Do the classic "Good Guy" thing and try to recapture the military leader and return him to prison, in hopes that said act will earn them their freedom.
B) Do the "Bad Guy" thing and try to join said militia, rising through the ranks into the leader's confidence via several covert op style missions and assassinations. Finally either helping him become an immensely powerful warlord, with them as his two most trusted aides/confidants/whatevers...or with them killing him off and taking over the army themselves.
or C) They can do the classic "Fuck this shit mayne" thing, and wander off away from both army and prison, and try to eke out a life for themselves as wandering adventurers.