Board Thread:Lore Discussion/@comment-7241374-20130312201459/@comment-6881629-20130312204244

Maybe this is a copy/paste from Sheogorath's wiki page -

Sheogorath's dialogue in Skyrim may suggest that he is the Hero of Kvatch; that character became Sheogorath in the events of the The Elder Scrolls IV: Shivering Isles. This is referenced twice by Sheogorath, first with his mention of having been at the Oblivion crisis "for that whole sordid affair" and also with his mention of his position being passed down from him to himself every few thousand years. However, it is also possible that, being an insane Daedric Prince, he was able to watch the events and literally passes the title of Madgod from himself to himself.