For the record, the Oblivion hero is called the Champion of Cyrodiil, or CoC for short.
Your question isn't really a bad one. A good number of users believe the idea you stated, that Sheog is just messing with the CoC. But other users (myself included) think you truly have become Sheogorath. For Arder Sul did the same thing.
Have you read about Arden Sul? Many inhabitants of the Isles will speak about him and claim him as either the Duke of Mania or Dementia; obviously their confused, right? He can't be Duke of both because the quest in SI shows you that. Lots of people in SI also consider him the mortal aspect of Sheog, and in a way they're right and wrong: Arden Sul WAS the Sheogorath. Let me explain:
The enantiomorph is a phenomenon in the Elder Scrolls that is an imitation of the interplay of Akatosh and Lorkhan, and by proxy Anu and Padomay, the first beings of existence. Anu and Padomay were literally opposites: stasis and change, good and bad, light and dark, + and -, etc, etc, and their interplay crated the Aurbis (see http://www.imperial-library.info/mwbooks/monomyth.shtml. It will help alot). Akatosh and Lorkhan, following in the same vein as Anu and Padomay, were opposites as well: time and space. As we all know, their relationship ended with Aka having Lorkhan's heart ripped out.
Something lots of people have discovered on the lore forum is that Akatosh IS Lorkhan. Opposites logically need the other to exists, as if they're (part of) the same thing. This is why Anu and Padomay existed. This is why Aka and Lorkhan exist. This being said, Lorkhan basically killed himself, if Aka is Lorkhan.
Arden Sul, http://www.imperial-library.info/obbooks/sebooktheprophetardensul.shtml, has his heart destroyed by himself, either directly or indirectly. Remind you of anyone?
One last thing to think about, from http://www.imperial-library.info/obbooks/sebookravingsoffenroy.shtml:
Just You wait and see
Good Gods come and go, but
All Lords eventually fall
A God can wake up mortal.
edit: See all the capital letters? Take them all, put them together and what word do you get?
I'd talk about Talos too, but I've said way too much in this one post. And someone else will fix any BS I missed.