I'm pretty sure i killed his ass, so no...
first off, you cant kill daedra... they can
NOT die... they're immortal, the most you can do is break their physical manifestations.
also, you fought jyggalag, not sheogorath... and all you did was defeat his physical body, sending his soul back into the waters of oblivion, in which he'll regain his full power and reform himself once again.
now back to the topic... i would love to see sheogorath reform himself once again, but i dont think he needs to play a part in this game... maybe just his voice, letting us know he's back and ready to ruin more minds again, that'd be perfect.
i would love to hear some dialogue from him during a daedric shrine quest... sheogorath is the greatest daedra prince, and should definitely come back somehow.
out of all the gods in TES... sheogorath is the one i love the most.
...i suddenly find myself craving brain pie... care to donate?