I thought Jyggalag was freed from the whole "Greymarch" duality cycle after the events of Shivering Isles. Is there any mention of him or his fate in Skyrim, or did he just sort of go back to being a semi-non-entity in ES lore? I must admit, I was really hoping for a Jyggalag quest in Skyrim.

"He fell into Winterhold during the great collapse."
"Uh Wizard did it."

-Bethesda

It will probably take time for him to go back to his former glory of the past eras, but I guess he's just a daedric prince rebuilding from some other realm in Oblivion, while Sheogorath AKA The Hero of Kvatch is now the new entity of madness

^this
Also I believe (and hope) that we'll see him in the next TES or maybe even in DLC before that.