Sheogorath sounds like an American (or other non Scottish) attempting to sound Scottish ... but as a Brit, I can honestly say that he doesn't do a very good job of it. No offence intended to him though - I try to think of it as ES accents and not real world stuff, since few of them actually sound anything like Nordic accents to me.
On the other hand, I have seen a number of comments about how nice Mjoll's accent is - to me, this is sounds like an attempt at an Eastern European accent from someone who is not from Eastern Europe, and certainly, it is not not even close to a Nordic accent.
Agree that Farengar tends to sound Dutch or Belgian and that Michael Gough, irrelevant of his nationality, is an extraordinarily talented voice actor

As for the male guards, they do tend to sound like Arnie, but that's okay - in my opinion, they are one of the things that make the game a lot better, irrelevant of their accents.
Overall, as I said above, I try not to think of these people as real world Norse, since the pretty anomalous accents do tend to ruin the immersiveness.