So, I read this in the Elder Scrolls wiki:
Imperial City , this hero's tale began as a courier for Uriel VII and ended in the salvation of all Tamriel from the forces of Mehrunes Dagon. The hero saved Tamriel again by reuniting the Relics of the Divine Crusader, defeating Umaril the Unfeathered, and even visited Sheogorath 's realm of insanity to battle the daedric prince and end an eons-long cycle of order and chaos, becoming the new Sheogorath, Prince of Madness.
I never finished Oblivion or the Shivering Isles DLC. So, does this mean that the Sheogorath you encounter in Skyrim is actually the Hero of Oblivion(your character in Oblivion)?