Which brings me to.. madness.
If you recall, Lorkhan and Akatosh are the same thing, from 2 sides and they are mad. Note also that madness was born with creation of the mortal plane (as far as I remember.. it's been some time.. was something to the point of "sithis shaped hole" I think).
So is Sheogorath the madness of Lorkhan perhaps? Or to rephrase that, is Lorhkan's madness sheogorath's concept, and by extension the basis of all madness?
Hmm...