If anyone still has questions about what Jyggalag has to do with Lorkhan, Lorkhan's heart, and Lorkhan's return, this explains it better than I could:
Dyus highlights the difference between Sheogorath and Jygallag. Where Jygallag is about unity and predictability, Sheogorath deals with personal choice. Personal choice is something that simply didn't exist until Mundus came about. It's the result of an attempt at creating something that would be always new, eg. unpredictable. With the creation of Mundus, allot of the Daedra were also changed as the fundamental principles of the Aurbis where turned upside down.
Both points imply that Jygallag can no longer exist without turning into Sheogorath. Due to Mundus, complete predictability no longer exists and because of that, Jyg can never excist again. The ending speech of Jyg, giving plot exposition however trashes everything the story implied. He's set free al right, but he exists in a world that is no longer predictable. Doesn't leave much for the embodiment of predictability.
Enough words have been expended on the relationship between Lorkhan and Akatosh that I won't bother to go into it. I'll just remind everyone what went in the hole in Pelinal's chest. SI wasn't just some side romp "hey wouldn't it be cool if we went to Sheo's realm." Daggerfall->Morrowind->Oblivion->KotN->SI makes up a connected narrative.