Utterly Mad

You know I still really want to know if Sheogorath in Skyrim is actually the PC from Oblivion.

It is, as sheogorath reverted to being Jygallag, with you Mantling sheogorath, which means that one way or another you became him over the course of the shivering isles, but Mantling takes a while to really set in. I could explain Mantling in great detail, but the short version is that you acted enough like him that you became him as the universe could no longer tell you apart. I am not pulling this out of my ass, it's an actual thing.