(SPOILER)
Sheogorath no longer exists. By defeating Jyggalag during the Grey March you break the cycle, and Jyggalag is free.
That is debatable and for a different thread. Many, including myself believe the hero that entered the realm of madness actually
became Sheogorath. It's quite possible and very well may have happened before in the past. Allow me to http://www.gamesas.com/index.php?/topic/1096021-arden-sul/page__p__16007026__fromsearch__1#entry16007026 you to Lady Nerevar's theory on the matter.
As for the question at hand, I'm not entirely certain who I would worship. I've always liked ole Malacath. Boethia and Hircine aren't too bad either. (to me) It would certainly be one of those three.
However, I would certainly be an enemy to the followers of Azura. Nothing would bring me greater pleasure then to destroy all she has wrought and formed with her petty schemes.