We're in Sabra la Tau. The Judges took our memories. We can win them back by playing games they run in the Arena. You will know when to head there because you'll hear the call. Some games are fun and harmless. Some are mindfucks. Some tamper with your very soul. And some involve pain and death. Death is not permanent here usually. Most Judges will revive you at the game's end. If they don't, well. We'll plead to the Judges and find one that will revive the dead. Some Judges aren't capable of revival, like Soldier and Gambler.
Why, why did I let some guys take my memories and send me to play death games for them, you may ask. Well, if you deemed worthy and are sent home, you also get a wish. And the wishes can be pretty big. So we must have all thought it worth it.