Not the madness of course, it's much more beyond that.

It's just that (Oblivion spoilers) he's technically your Champion of Cyrodill character when your Skyrim character meets him in the Blue Palace.

It's just... FEELS WEIRD!

It's just awesome that Beth came up with this, considering that... I feel more freaked that I gotta meet him again in the Elder scrolls VI... possibly in Black Marsh when Dark Elves fought back and changed the shape of Black Marsh themselves (I believe the ES:VI will take place in Black Marsh, Dark Elves used the same power Talos used to transform Cyrodill which would be another reason why all races can go in without dying instantly by diseases but I might talk about that in another thread.)

Anyway, do you guys feel weird that your Oblivion character is just sitting there right in front of you?

It must be weird for Morrowind players when Neloth mentions of the legendary Nevarine (Did I spell it wrong?) but this occasion goes over the charts!

It does feel kinda weird, especially if you're roleplaying that your Dovahkiin is your CoC (if your character is an Altmer or a Dunmer for instance).

I remember roleplaying an Imperial who was a descendant of my Imperial CoC, so it was like an odd reunion of great-great-great-great grandson with great-great-great-great grandfather, only the old man doesn't know the mortal is his descendant. It was kinda sad, really...

Not really. He's only my Oblivion character in 10% of my playthroughs. Even in those 10% I don't know which of my Oblivion characters it is. Sometimes it's my Archmage and other times it's my Champion of Cyrodiil. I do like the fact that my main Breton characters would be meeting the remnant of their Great^5 Grandmum(CoC)/Uncle(Archmage), even if they don't know it.

Either way, they technically aren't your Oblivion character. Not anymore. All that's left is Sheogorath. That's all there ever was.

Frankly, I'm more surprised Neloth even knows about the Nerevarine. He wouldn't even give him (her, depending on the timeline) the time of day when they met back in the late Third Era. He probably wouldn't recognize the Nerevarine if he ran into him (her) while he(she) was visiting Solstheim again for the first time in two centuries. (Which he/she was.)