The Lamp of Marvels is a quest item that is the goal of The Djinni's Final Task. After completing The Djinni's First Task and The Djinni's Next Task, enter the portal to the Haunted Quarter, fight your way into Jehannum, and confront Ezrek Khan. Once you have defeated Ezrek Khan and retrieved the lamp, Fazeer Shah will appear in Jehannum to accept the Lamp and give you your reward.