I have a situation where I would like to do something like example.com/go/special/data/etc such that whenever WordPress gets a /go/ link, my plugin takes over and responds.

What event should my plugin be subscribed to in order to react? Furthermore, what do I need to do anything else so that WordPress knows to stop trying to do something with the link at that point? Finally, is there any way to make sure my plugin gets to do this before most or all other plugins so as to be as fast as possible?