ActionTrip has posted a two-page Q&A with Bethesda Softworks' Mark Nelson, lead designer for their upcoming The Elder Scrolls IV: Shivering Isles expansion pack.
Q: For those unacquainted with Sheogorath, give us a few details on the backstory.
A: Sheogorath is the Daedric Prince of Madness, one of the incredibly powerful beings in the Elder Scrolls pantheon. When the player encounters him, Sheogorath is in search of a champion there is an impending threat to his realm, and (because of the nature of the threat) he needs a mortal's help. The player will need to rise in the ranks of the Court of Madness in order to earn the respect of the citizens of the Shivering Isles and eventually repel the threat.