I liked some of the lines Sheogorath spouted in the Shivering Isles:
"I once dug a pit and filled it with clouds....or was it clowns.... come to think of it, it began to smell... must have been clowns. Clouds don't smell, they taste of butter. And tears."
"Wonderful! Time for a celebration... Cheese for everyone! Wait, scratch that. Cheese for no one. I suppose that can be just as much of a celebration, if you don't like cheese, true?"
"Mountains will be moved! Movements will be mounted!"
"Aye, it is not a good sign. But do you know what is a good sign? 'Free Sweetrolls'! Aye, that's a very good sign."
"I'm so happy I could rip out your intestines and jump rope with them!"