I feel sort of like a dweeb for posting this, mostly because I'm sure it's been brought up before.

If you played Oblivion, than you know that your character becomes sheogorath at the end of the shivering isles. Well in Skyrim, Sheogorath will say he "was there" for the Obliviob crisis, and I forget right now, but I think he directly said Martin's name.

He also has messed up eyes, which could somehow be a reference to the Oblivion Sheogorath saying, "ta ta, do visit again, or I'll pluck out your eyes!

Is there any confirmation on whether or not he is the Hero of Kvatch?

He is, but he isnt because some people done SI and some didnt.

I consider him to be considering it was what exactly happened in Shivering Isles, but anyone can simply assume it never happened and he is just Sheogorath.

I think it is best to just think of him as Sheogorath and nothing more.

Sheogorath's dialogue heavily hints at it, but there's no confirmation.

He mentions a few other things too: butterflies, a fox, a severed head - all refer to quests in Oblivion, suggesting that he was there in person. Add the fact that his title is "passed down from me to me", and there you have it.

I believe it's canon.

I've seen so many people that have trouble not believing it, and it actually annoys them because they wanted to make their own future for their character. I really like the whole Sheogorath enfing though, so whatevs.

There's no confirmation, but there are plenty of hints of him at least being around Cyrodiil at the time of the Oblivion Crisis so it's obvious someone living during the whole thing mantled Sheo. Whether or not it's the Hero of Kvatch is up to your playstyle.

Personally I like to think that my hero is living it up as Sheo, which made the little references to Oblivion and the fact that he's represented as a Breton and dislikes the name Ann Marie much more amusing since I played a female Breton.

In TES lore, no character is canon. Someone from Cyrodiil became Sheogorath in the late 3rd Era, just like someone became the Listener of the Dark Brotherhood around that time. Whether or not these people were different people or the same depends on what you do in the game.

Ever wonder why we never hear from the Nerevarine or Champion of Cyrodiil again? Because everyone's roleplay is right, and everyone's character is 'canon'.