Eh, I wasn't enthralled with Sheogorath's 'lolrandumb' hijinx. If that character doesn't work for you then SI is mediocre at best, like the rest of Oblivion.
Sheogorath himself was fun for a bit, but did get old quick. There's only so many times I can hear 'OR I'LL PLUCK OUT YOUR EYES!!!' without just wanting the man dead already.
SI, in my mind, was the best thing to happen to Oblivion because of the place. The bulk of Oblivion is just so powerfully bland that it hurts. They took the Elder Scrolls lore, and then hammered it into the mold of conventionality so hard that you can pretty easily miss all zany, unique, and genuinely fantastical parts of the world. It's green rolling hills, trees deposited by a shotgun from heaven, and just... generic. The Dragon Break, the Sload, the Battlespire, the fact that all mortal races were created by an immortal and all powerful being solely to transcend the limits of all-powerful beings- those things exist as references, but it's sort of hard to believe that they're there among all the cut-and-paste fantasy.
Between SI and KotN, Knights of the Nine is an even blander affair that manages to shoehorn in bloody crusaders and the quest for the fecking grail into the game.
SI, however, was a place. Was it overdone at times? Sure. Did it have the trademark Elder Scrolls voice acting where everyone delivering dramatic lines sounds like they're somewhat surprised to be there and can't quite figure out whether to threaten you or try and call a cab? Yeah, absolutely. It's certainly not a completely original place, but it was a damn cool place, and the artists spent their time chewing the scenery. The idea of the plot was cool, and a good bit more interesting than the normal 'good defeats evil' fare. I
remember the Shivering Isles, and I'd gladly rip off the idea for a story or a game.
That... was a bit longer and more vehement than I intended. Basically, SI was the best part of Oblivion because it actually feels like a Fantasy a tiny spark of originality burning in its soul. Unlike the rest of Oblivion.
I'm a bit hard on Oblivion. It's my red-headed stepchild of the series.