Who is the mysterious "friend" that sends you letters toward Dragon Shouts?

I'm gonna go ahead and say that it will never be revealed in the game. I'm quite curious tho.

Sheogorath.

He wild and crazy guy!

You have a stalker, be careful when walking down those dark allys.

The Hero of Kvatch, of course. He makes a habit of shadowing people with dragon blood.

love the refrence...but we all know how it REALLY went down
the hero of kavatch did al lthe work,but all this was ignored when martin went kamakazi (granted it WAS kinda cool)
but all the hero got was a pat on the back and a shiny set of armour

And some tail from grateful Argonians who loved that he repaired their name in the eyes of everybody.

Hey, my CoC can dream, can't he?

Also became a daedra prince during shivering isles, but that's a different story.