During when I played the Shivering Isles and Oblivion, I read all these stories on how Sheogorath tricked and made fools of some of the other daedric lords. 2 being Hircine and Vaermina. He seemed to be the most cunning and intelligent of them, that and not only does he play mind games with people, it seems he takes joy in making bets and messing with the other daedric princes as well. Much like Loki in Norse Mythology. Seems he enjoyed being mischievous and tricking everyone he could into doing something that they later regret. Would this merit that he is some how smarter than the other Daedric Princes?

Smarter, no? More cunning, yes.

I wouldn't say that he's smart or cunning; however, a lack of sanity provide a rather unique viewpoint that's impossible for those of sane disposition to grasp. He just sees things in the maddest ways possible.