It has been confirmed that the Sheogorath seen in Skyrim is indeed the Hero of Kvatch from Oblivion. Wes Johnson replied to the question at Comic Con, and said that the Hero of Kvatch in Oblivion was indeed the Sheogorath we see in Skyrim. If you dont know who Wes Johnson is, he is a voice actor who voiced many characters throughout The Elder Scrolls and Fallout games. He voiced Lucien Lachance and Sheogorath, he also voiced Mister Burke from Fallout 3. Also, if you notice in the Skyrim quest "The Mind of Madness", Sheogorath even says "I was there for that whole sorted affair", reffering to the Oblivion Crisis, he goes on to mention the Gray Fox, Mathieu Bellamont and some events from the Shivering Isles. Well I hope that answers your questions on this matter, good day.