Used to be Sheogorath, but the Shivering Isles completly ruined him for me. Such a tacky representation of madness, really awful.
Yeah I agree with this, I thought Sheogorath in oblivion/skyrim was just way too "zany". His portrayal in Morrowind was a bit neater, I liked the idea of madness incarnate speaking in a calm, articulate voice (which nevertheless demanded the utterly bizarre).
I'll say Azura, but with Malacath (I like playing orcs) close behind. Sanguine gets an honorable mention for having a very enjoyable quest in skyrim.