I've experienced the Shivering Isles DLC for the first time recently, and while I do enjoy the funny characters whose speech makes no sense I couldn't help but notice the lack of dangerous psychopaths.
Madness can be associated with a great variety of things, so I understand that this realm is also home to obsessed/paranoid people and even artists.
But it's beyond me that the inhabitants of the realm of madness are mostly harmless people. There should be a more balanced rate between the harmless and dangerous types. Or at least, a greater number of disturbing people like Cutter. She's the only npc in SI that makes you think "Wow, s/he's definitely sick in the head".
And finally, Sheogorath himself. I hope he'll have a darker portrayal in future games. As a Mad God he isn't actually menacing. Honestly, whenever he talks about skipping rope with your entrails or plucking your eyes off, I don't believe he really means it, even if he technically might.
It's like we only ever see his manic side.