What about sth in manner of the Dragon Break?
1. CoC is Divine Crusader (avatar of Shezzar)
and
2.Another CoC is Prince of Madness.(two separte entities, like Mannimarco, Akatosh-Lorkhan...)
or CoC after fulfilling his role as an avatar of Shezaar has gone to SI and become a God of Madness. (simple way)
^He will be slowly morphing with entity(power of SI) known as Sheogorath or only his presence will be seen as that of ol' good Sheo:d - his true form will be that of CoC.
In other words future Sheogorath (TES V and later) will be the same ol' madman known form previous TES games:d
^It's very easy for Bethesda to keep lore unchanged.
MY QUESTION:
What about Jyggalag?
I'd be nice to see his shrine in TESV. Some books about him?
New daedric prince(power) would be nice as well but this is unlikely(Oblivion would be packed:D)