Feel like a tool saying Sheogorath, but I swear I liked him as soon as I saw his shrine in the waterworks of Vivec. I mean, come on! He's the God of Madness and he was dressed in fine clothes with a cane while sporting beautiful facial hair.
I do not like Sheogorath nearly as much after Shivering Isles. Shivering Isles was frustrating. I can't believe Sheogorath wasn't "real"! Man, that pissed me off.