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You'll find that Sheogorath's followers are more than slightly crazed. In Oblivion, in order to become Lord Sheogorath, you will need to complete the Shivering Isles DLC for Oblivion. Sheogorath offers a minor quest at his shrine and plays a major role in the main questline of The Elder Scrolls IV: Shivering Isles. Sheogorath’s Shrine Quest This quest, much like Sheogorath, is absolutely insane. Sheogorath is the Daedric Prince of Madness, ruler of the Shivering Isles.
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Wait until Sheogorath congratulates the Hero and tells them to wait in the center of town and watch the sky. For The Elder Scrolls IV: Oblivion - Game of the Year Edition on the Xbox 360, a GameFAQs message board topic titled "Your favorite Sheogorath quotes. Jyggalag is the main antagonist of The Elder Scrolls IV:The Shivering Isles. He also suggests that you stay at the Border Watch Inn if you want to learn more about the town.
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