Sheogorath is in a bit of bother, you see. You discover that the madness shrouding the islands is a control mechanism over the people who live on it - distracted by their illnesses and the factions locked in a bitter squabble, Sheogorath’s reign over the lands is pretty much unchallenged. But enter stage right another Daeric Prince - Jygglag - keen on restoring sanity to the islands by inducing an event called the Greymarch, a state of affairs that would leave ‘Rath in very hot water.
So you’ll be asked to go out and do things for him, including, eventually, the rebuilding of the gatekeeper that you so thoughtlessly slew earlier on. You’ll forge relationships of some kind with mentals on both sides of the Mania/Dementia divide, and at some point will be called upon to align yourself with one of the factions.
If you feel - like very many on Bethesda’s forums - that helping a Daedric Prince isn’t exactly in keeping with your character’s mindset, then fear not, as Bethesda thinks you’re all too young to wear worry lines on your faces. What happens in this realm stays in this realm, with no repercussions once you nip back to the land of Oblivion. Perfect stress relief, one could say, for the do-gooder who fancies wrecking more comeuppance-free lifewreckery over in the Shivering Isles. Your stock will rise as you earn the affections of the Prince, and you’ll find yourself getting annoyed with the would-be adventurers who pour through the now wide-open portal between the two planes of existence. You’ll even be given your very own chamberlain - or tips guide - the aforementioned Haskill, who you can summon at will, regardless of your situation. He doesn’t take to this new arrangement terribly well, of course, and will have a few barbed comments to make if he feels you’re wasting his precious time.