I think they should focus on another Daedric Prince. And base the expansion on his/her realm.
I should maybe edit the start of my opening post to make it clear that I'm not asking for Shivering Isles 2, just wondering if and how they'll do a Sheogorath Daedric Shrine Quest in Skyrim.
Here's the edited bit I added, which also contains some exemplary links regarding what I'm talking about:
First off, a couple of people posted saying that Bethesda should "focus on another Daedric Prince/Realm". This is NOT what I'm talking about. I'm not saying Bethesda should make a "Shivering Isles 2", I'm merely speculating as to whether or not they'll do a http://www.uesp.net/wiki/Oblivion:Daedric_Quests http://www.uesp.net/wiki/Morrowind:Daedric_Quests of http://www.uesp.net/wiki/Daggerfall:Daedric_Quests and if so, how might they pull it off in light of the events of Shivering Isles.
The first link shows the Daedric quests from Oblivion, the second from Morrowind, and the third from Daggerfall. Here are some links to Sheogorath's quests specifically (mind that they contain spoilers so if you haven't done his quest in that game-read at your own risk):
http://www.uesp.net/wiki/Daggerfall:Sheogorath%27s_Quest
http://www.uesp.net/wiki/Morrowind:Sheogorath%27s_Quest
http://www.uesp.net/wiki/Oblivion:Sheogorath
The one they did in Oblivion is my favorite, and I'm hoping they'll do something even more bizzare, perhaps making use of the new engine, for Skyrim.