So, err, as far as Bethesda is concerned, did Shivering Isles never happen? If so, I'm sad, because it was brilliant. Much more interesting than Oblivion, upon which it expanded.

So, in Skyrim, we still seem to have Sheogorath as an active Daedra. Now, that's not too much of a problem - as the Daedra of insanity, he can have multiple personality disorder, would almost seem fitting (and being overly ordered could be a form of mental illness - sort of a really bad case of OCD). However, I was looking forward to Jyggalag playing some role in the story of TES going forward, now that he's back. . .

I believe Sheo makes references to the CoC and shivering isles.