You were walking around Kvatch. The city had been rebuild since the Oblivion Crisis hundreds of years ago. The market was thriving, the church was standing tall, and there wasn't a Daedra in sight. You go over to the market district to pick up something to snack on before heading back north. But as you walk up to the stalls, you spot a man in a red and purple suit. He chuckles, looking up at you.

Sheogorath: "So, you're the Dragonborn? The next big thing, I bet. You know, I saved this city before Sheogorath passed down his title." His accent is charming, but maddening. He has a bag on his arm with at least three wheels of cheese. You hadn't caught this man's name. Hopefully you've been studying your Princes.