Sheogorath

Sheogorath is served by lesser Daedra—the Golden Saints, or Auril (as they call themselves)—and former servants of Nocturnal—the Dark Seducers, or Mazken. According to the Mazken, they received the name "Dark Seducers" from their enemies, the Auril. Based on this, it can be assumed that the Auril owe their name "Golden Saints" to the Mazken.

Sheogorath has a valet, Haskill. Sheogorath treats his servant well, but the Daedra Lord is not averse to playing tricks on him and takes every opportunity to do so.

He is also worshipped by the Khajiit and is called Sheggorath, the kitten of Fadomai's second litter, or the Scum Cat.
Note: According to legend, Sheogorath found the mortal world boring and gave them music (book "Myths of Sheogorath").

Sheogorath is one of the four pillars of the House of Troubles and constantly tests the Dunmer for spiritual weakness. In many legends, one Dunmer lineage summons him to battle another; in half of these legends, he does not betray those who summoned him. He is often associated with the Dunmer race, representing the terror other races feel toward the Dark Elves. He is constantly at odds with Azura.

Sheogorath is a Daedric Prince, also known as the Prince of Madness, the Mad One, the Mad Star, the Mad God, the Mad Lord, and the Mad Cat, whose sphere is madness and whose motives are unknown. He is believed to have been "born" when Lorkhan lost his divine spark.

One myth calls Sheogorath "a hole shaped like Sithis" in our world. For those who serve Sheogorath, there is no good or evil, no truth or lies, no reality or unreality. For them, only what they desire and what they see exists. Folk believe that when a madman speaks, he addresses this Prince, who reveals to him what he cannot know. Sheogorath is depicted as a bearded man in unusual robes, holding a cane in his left hand.

In addition
The Elder Scrolls IV: Shivering Isles
Sheogorath is the other side of Jyggalag, the Daedric Prince of Order. According to legend, Jyggalag was the most powerful Daedra of all. The other Princes, fearing Jyggalag's power, cursed him with madness, and he became known as Sheogorath. But the story doesn't end there. The Champion of Cyrodiil can learn more by asking Sheogorath about Jyggalag during the quest "The Helpless Army." When asked, "Why doesn't Jyggalag attack himself?" Sheogorath replies, "Aren't you a charmer? You truly don't know? What are we always talking about? Because he is me! I am he! We are part of each other, in essence. I will not be here when he comes, because I will be him." From these words, it becomes clear that Sheogorath, once every thousand years (at the beginning of each new era), becomes Jyggalag and destroys ("brings order to the disordered realm") his own realm.