18: The Prince of Madness
The Elder Scrolls IV: Oblivion Walkthrough and Guide
The Elder Scrolls IV: Oblivion Guide - Shivering Isles
Quest 18: The Prince of Madness
After Jyggalag's speech, return to the palace and speak to Haskill. He'll detail all of the perks that come with being the Prince of Madness. Sheogorath's Regalia can be found on the throne, and Jyggalag's Sword can be found behind it. You're given some other cool things, including a spell that allows you to manipulate the weather in the realm, and the ability to select a Golden Saint or Dark Seducer escort.
That's it; you've completed Shivering Isles' main questline! Take a seat on your throne, Prince of Madness.
The truly amusing thing about how this DLC ends is that when you meet Sheogorath again in Skyrim -- he's actually YOU.
What happens if one of the escorts dies?