Saw Sheo as the CoC, but is Jyggalag anywhere in the game?

No. Sorry.

This one confuses me. Sheogorath, as he appears in Skyrim, clearly does not acknowledge The Shivering Isles revelations at all. How could it, realistically - given the varying different appearance of the CoC, depending on the User's own choice?

Maybe the Deal in becoming Sheogorath is that you eventually get corrupted into becoming a mental pseudo-Irishman...?

He does reference things that make one suspect this Sheogorath is actually the CoC, he mentions being there when Martin defeated Dagon by turning into a dragon. Perhaps the CoC, having been Sheogorath for over 200 years, takes on the 'traditional' form he uses to appear to humans.

what i found shocking was that sheo was the only person in oblivion who had a bear, in skyrim, everyone and their mother has a beard!

Seeing as how the lords can in fact change their avatar's appearance, a prime example being Boethiah, who appears as a male warrior in the third era and a cloaked woman in the fourth, my guess is he appeared as the silly irish man in Skyrim as to not confuse the player, and to generally interact with mortals.

Sheogorath referencing the events in Oblivion was a huge hint at the happenings of The Shivering Isles, because if SI never happened, he wouldn't have been the CoC.

And lastly, Jyggalag was, in a manner of speaking, banished after being defeated.

wasent jyggalag like the other evil side of sheo? and the player destroys that sise....so no i dont think you will be seeing him

Sheogorath was actually the crazy side of Jyggalag. Back in the Mytheric Era, Jyggalag was extremly powerful, and the other daedra saw this, cursing him with a split personality opposite to his own sphere, who he got to destroy every so often... over 3000 years later, the cycle finally ended with the CoC destroying Jyggalag and taking his alter-ego's place on the throne.

So, yes, we won't be seeing him.

Jyggalag was forced to confront the Champion one-on-one, and was defeated by the Champion. His defeat, however, released Jyggalag from his circle of curse. Jyggalag, again free to wander Oblivion in his true form, disclosed his story to the Champion and named him the new Prince of Madness, before departing. http://elderscrolls.wikia.com/wiki/Jyggalag So yes we might see him again in a dlc for skyrim or in a new elder scrolls but sadly he is not in the main game.

I was under the impression that in Shivering Isle the player is just given rule over the realm in place of Sheogorath who has to solve the split personality issue first. My belief is reinforced by the presence, in Solitude, of one of Sheogorath's priests who went looking for him because the realm is left without a guidance. So, imho:

Sheogorath/Jyggylag curse is lifted
Player is given rule over Shivering Isles
Sheogorath and Jyggylag part ways/ split/ become two aspects/ whatever.
Sheogorath goes on vacation in the mortal realm, Jyggylag goes elsewhere.
The Oblivion hero, still being a mortal, dies.
Shivering Isles is left without a ruler leaving the realm without a guidance, Sheogorath priests begin searching for him in other planes
Sheogorath is found "in vacation" in Solitude

I like this theory, but it doesn't explain the personal CoC references.

Boethiah was bisixual? wow u made my day.

The correct term would be transsixual if it was an actual person instead of an avatar.