It was great. The quest itself was okay, but what made it great was Sheogorath himself. I thought "How are they gonna handle this? Sheogorath ceases to exist at the end of Shivering Isles. The player character becomes the new Madgod." And you know what? That's what they went with. The Sheogorath you meet, is, in fact, the player character from Oblivion. Evidence:
- When talking to Pelagius the Mad, he says that Pelagius is the best Septim. Aside from Martin, who was the absolute best Septim of all time until he became a dragon. And that he was there for all of that.
- He says that his title was "Passed down from me to me." He inherited his title from himself, the original Sheogorath. He is the new Sheogorath and grew to be just as mad as the original, as was the original Sheogorath's plan.
- Finally, the best evidence of all, is that he was there for "the butterflies, the Fox (note: It was capitalized), the head, and everything."
The buttrflies refer the first time the player character entered the Isles and the room burst into butterflies. The Fox refers to the Grey Fox, and the severed head refers to the end of the Dark Brotherhood guild where you discover Mathieu Bellamont's mother's severed head. Things that the player character from Oblivion witnessed but the original Sheogorath did not.
Also, the token needed to find Sheogorath is the Hipbone of Pelagius, which the player in Oblivion discovers as the Pelvis of Pelagius and donates to the Museum of Oddities.
And finally, this is the only time that Sheogorath is depicted without a cane. The new Sheogorath doesn't like to use a cane like his predecessor did.
The Champion of Cyrodiil, from a canon standpoint, effectively replaced Sheogorath as the Daedric Prince of Madness.
Bethesda actually stuck to the ending of Shivering Isles. I am impressed. The Neravarine was cool... but has nothing on being the eternal Madgod.
EDIT: Also, this was a total tease at how awesome Sheogorath would be for Skyrim. During the visit he invites you to hang with him if you ever find yourself in New Sheoth... I WANT TO GO BACK TO THE ISLES!