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Because for one reason or another Tywin Lannister offered him a choice... take the black or die...

[Jeor Mormont] Ser Alliser is an anointed knight, one of the few to take the black since I have been Lord Commander. He fought bravely at King's Landing.

[Jaremy Rykker] On the wrong side. I ought to know, I was there on the battlements beside him. Tywin Lannister gave us a splendid choice. Take the black, or see our heads on spikes before evenfall.

A Game of Thrones, Chapter 21, Tyrion III