1) At one point in the Dark Brotherhoods quests you find a note or hear that the Adoring Fan was an Assasin who got into the good graces of the Grand Champion then killed him in the woods.
Was this the fate of the great Hero of Oblivion?
2) Another point is that after doing the Shivering Isle quest line you take the role of Sheogorath...is the Hero of Oblivion the Sheogorath interacted with during the shrine quest in Skyrim? Or did Sheogorath replace him?
I haven't done either of these and need proper citing but this is what I've heard.