The Prince of Madness

With Jyggalag dead and order has been restored in the Shivering Isles, he appears in the sky as a floating entity and speaks to the Hero.

Courtyard
After Jyggalag is dead, his giant disembodied head appears floating in the sky. After conceding their victory, he tells them that once the Shivering Isles was his, and that he was so powerful that the other Daedric Princes feared him, and cursed him to live as "that gibbering fool, Sheogorath."

Once a millennium, he was allowed to become his true self and re-conquer the Isles, only to find madness eventually overtaking him. Now that they have defeated him, however, he is free to roam the wastes of Oblivion again.

Jyggylag finishes by saying, "Mortal, King, God ... It seems uncertain. Perhaps you will grow to your station. Fare thee well, Sheogorath, Prince of Madness," and then vanishes.

Palace
Go inside the Palace and speak to Haskill. (He refuses to speak to them in the courtyard, citing the "mess.") Haskill is now a bit more respectful than in the past, calling them "Lord Sheogorath" and saying he never doubted them. Haskill will also detail their new duties and benefits as Lord Sheogorath, Madgod of the Shivering Isles. They are:

Benefits

 * Court Healer. The Court Healer, who is always in the throne room, can cast a powerful healing spell on them. The spell will heal them 500 Health, Magicka and 100 to all attributes
 * Entertainment. A dancing girl will enter the throne room and perform for the players pleasure when desired. Activated by speaking to Haskill in the throne room.
 * Escort. Any Golden Saint or Dark Seducer in the throne room will act as a standard follower and fight to the death for you.
 * Greater Power Manipulate Weather. This will change the weather to a random effect and add a related bonus. Only works in the Shivering Isles.
 * Sheogorath's Protection. This 100-point spell will resurrect the Hero, for a limited amount of time, in the throne room of Sheogorath's Palace. This is not a teleportation spell - it only goes into effect if they die while the spell is active. They will also have the option of traveling back to the location you were killed at. Only works in the Shivering Isles. (Doesn't work if they killed themselves ( Jumping off a high ledge, for e.g.) It can be used to dispel the Exalted Pain spell cast at them by Relmyna Verenim if they demand that she let the test subjects go free in the Rebuilding the Gatekeeper quest.
 * Sheogorath's Regalia. This one-piece suit can be found on Sheogorath's Throne.
 * Sheogorath's Throne. They can now sit in Sheogorath's chair.
 * Sword of Jyggalag This claymore will be in the back of the throne room. It will appear to be decoration but they can pick it up by activating it. Note if the sword of Jyggalag doesn't appear at the back of the throne room then exit to the palace grounds and enter Sheogorath's Palace.

Duties

 * Defend the Realm: Speak to Haskill about this subject and he will notify them if there any threats to the Shivering Isles.
 * These "threats" will either be intruders at the Gates of Madness (Bandits with leveled weapons) or leveled creatures attacking the settlement of Highcross, Fellmoor, Split, Deepwallow, or Hale.
 * They will also have the option of sending their troops instead of handling the situation personally. When the problem is solved, their people will send them a tribute of either 1000 gold if dealt with it alone and 500 gold if they sent the guards to help (this is one of the easiest ways to get gold).
 * (Note that even if the Hero don't send guards when there are "Intruders at the Gates of Madness", that lovely Gatekeeper fellow will still fight by their side, as Haskill will mention upon going that route. Who needs guards when they have a giant custom-designed monstrosity on their side, anyway?)

This will end the Shivering Isles Main Quest.