Board Thread:Lore Discussion/@comment-26895123-20150816032605/@comment-18750685-20151025133326

Here's how it went:

Jyggalag's power grew until other Daedra were menaced by his ever-growing army.

The other Daedra visited Mora in Apocrypha and asked the Prince of Knowledge to help them.

Mora, knowing even he could not "destroy" Jyggalag so simply, cursed him to become Sheogorath.

In order to ensure neither would grow in power until far too late, Herma-Mora would pit Jyggalag's true form against his twisted alter-ego, Sheogorath.

However, when the Hero of Kvatch (or Champion of Cyrodiil, whichever you prefer) defeated Jyggalag in his "home realm", the latter no longer suffered the curse with which Mora inflicted him and thus passed his mantle unto the Hero, whom became Shegorath since the Shivering Isles were once Jyggalag's plane of Oblivion.

Now, we can neither confirm nor deny that the Sheogorath we see in Skyrim and the protagonist we played in Oblivion are the same, but what WrathOfHircine pointed leads many to believe that they are, indeed, one and the same.

As for Jyggalag, one can speculate that the Prince of Order has established a new Plane of Oblivion and plans to finish what he started eras ago... or that he went to the Bermudas to stroke the sand with his toes.