After entering the strange portal in Bravil, you come across a realm of madness. Inside, lay Mania and Dementia. Mania was colorful but deadly, and Dementia was not colorful at all.

Upon entering the castle, you see a (rather old looking) man clapping his hands. You approach him.

"A new arrival! A shame about my Gatekeeper. I’m so happy, I could just tear out your intestines and strangle you with them. I suppose an introduction is in order. I’m Sheogorath, Prince of Madness. And other things. I’m not talking about them. You’ve probably figured that out by now. Let’s hope so. Or we’re in real trouble… and out come the intestines. And I skip rope with them! But, perhaps now’s not the time. You’ve made it this far. Farther than anyone else. Well done! Take this trinket of mine. Perhaps it will serve you well. Or look lovely on your corpse."

You get the Charity of Madness.

"I’ve been waiting for you, or someone like you, or someone other than you, for some time. I need a champion. And you’ve got the job. Time to save the Realm! Rescue the damsel! Slay the beast! Or die trying. Your help is required. A change is coming. Everything changes. Even Daedric Princes. Especially Daedric Princes. Daedra are the embodiment of change. Change and permanency. I’m no different, except I’m the ways that I am. The Greymarch is coming. And you’re going to stop it. The details aren’t important. At least not right now. Eternity is on a rather tight deadline. We’ll get back to that later."