Sheogorath is the Daedric Prince of Madness, who exists inside the subconscious of every mortal and whose motives are said to be unknowable. According to Aldmeri Myth, Sheogorath was born when Lorkhan's Heart was ripped from his chest, with the Mad God forming from the "Sithis-Shaped Hole" left in the world.

If your planning on doing a battle roleplay, honestly good fucking luck trying to defeat this dude. I couldn't even do it myself.