Hello there. This is my first Thread here, so i wanted to say "hello.". I did that and it will suffice, as no one is interested in my Life Story.
Sheogorath is, from a Storytelling Point, boring. He is mentally Ill and that's the whole Joke about him.
In the Shivering Isles Expansion, Bethesda gives us Jokes about the "mentally Ill" Subject on a regular Basis. Oh, "Brainpie", what a great Joke. Yawn. "Cheese for everyone!". That is not funny. Have a Character who's insane and have him say line that would be ridiculously threatening if we didn't knew Sheogorath was a Nutjob is, to say the least, cheap.
Haskil is more interesting, although we've already seen this Character type elsewhere: The bored and annoyed Person who manages to keep his sanity with Self Discipline and sheer Force of Will. The supporting Character who patiently goes along with everything the Maincharacter does while any normal Person would have gone insane by then.
This Quality is often found with Maincharacters when they have annoying Sidekicks and somehow manage to force themselves to not kill them.
Sheogorath is a "Pinky" Rip off. Narf!
Haskil's Irony has a nice Quality to it. "Will the Wonders ever cease?" in this annoyed tone with the "i couldn't care less if they cease" Attitude made me chuckle. Haskil is a "Brain" Rip off.
It would have been more funny if Haskil bashed Sheogorath over the Head once in a while for being stupid

My Point is: Jokes about craziness are a bit too easy. You have to throw some random Words in now and then and People will laugh. They will laugh at complete gibberish, which is something that Bethesda actually did: "Gal bursten it!".
Nevertheless, Shivering Isles is an example of something that is almost nonexistent in the World of Videogames as a substantial Part: Humor.
You'll find many Jokes in the Form of eastereggs or something like that, maybe a subtle injoke here and there.
But Shivering Isles is one of the few which has the Humor as one of its defining Qualities.
That said, i want to return to Sheogorath again. It makes me somewhat uneasy to laugh over a Joke about a mentally sick Person. I will not make the Morale Speech here about how you shouldn't make Fun of just about anybody because in the overly sensitive Time we're in, everybody has some touchy Subject.
Jokes about the mentally Ill Characters have always something missing. In his delusions, the ill Person may attack or even try to kill you. Obviously the Character wont have these Qualities, for the sake of the Joke. Being Attacked is not very funny. Mostly.
Now Sheogorath could kill you in an instant in any Way you can imagine and even in some Ways you can not imagine. He snaps his Fingers and your Limps fly off in different Directions. And your Head in three others.
Obviously, they left these Qualities out for the Sake of the Joke. And the next one. And the next one...
My Character wouldn't go there by his free Will. No one would enter the realm of a God who is *insane*.
Well, at least nobody in their right Mind.
Sheogorath is good for comic Relief. You can make some Jokes about him. No one, not even me will care about the Plot hole with Sheogorath being potentially dangerous in the time you'll tell a Joke.
But when you spend Hours with him, that's another Story.
Well, maybe Elderscrolls 5 will have another Haskil Joke.
Wait a minute: In the Next Game, will i recieve the Sheogorath Quest from myself?
That's an Idea for a nice Feature: Have the Next Game scan an Oblivion Savefile where you have resolved the SI Mainquest. The Sheogorath Shrine in the Game will be made in the likeness of your Oblivion Character ;D