This came up because of threads in Skyrim GD that debated whether or not that Sheogorath was COC, aka your old Oblivion character, and that's not so much what I came to bring up, it's just what got me thinking about the whole thing. I wanted to point out that, Sheogorath isn't just a person - he's a realm. He manifests as a person.
As Sheogorath began to transform into Jyggalag, Shivering Isles changed to reflect that. His citizens took on the mantles of the Priests of Order. Because they are part of Sheogorath and reflect his will. But he hated the harm that the transformation caused his people. His love for them, their flaws, their art and destructive creativity was so vast that he made the ultimate sacrifice for them. He severed himself from his realm.
When Sheogorath shifted his mantle to you he became Jyggalag forever, but saved his realm and people as his last act of madness.
Which is pretty heroic and noble for a so-called "bad" daedric prince. I made me see him in a new light and respect him as more than just a cool dude with funny dialogue. Thoughts?