The cheese refers to the multiple types of cheese encountered during Sheogorath's regular Daedric Prince quest, which has you making the residents of Border Watch believe the end of the world was nigh.

The severed head refers to the mother of Mathieu Bellamont, someone important to the Dark Brotherhood questline.

The Fox is capitalized because it refers to the Gray Fox, the secret identity of the head of the Thieves Guild.

Blood refers to the Armor of Tiber Septim, an important quest item that has the emperor's blood on it.Butterflies refer to the first room you encounter in the Shivering Isles where you meet Haskill.The Martin mentioned is Martin Septim, who becomes a draconic Avatar of Akatosh at the end of Oblivion's main quest.This line of dialogue makes the following references: Marvelous time! Butterflies, blood, a Fox, a severed head. You know, I was there for that whole sordid affair. Well, except for that Martin fellow, but he turned into a dragon god, and that's hardly sporting. You are the best Septim that's ever ruled. Secondly, Sheogorath's dialogue with Pelagius refers directly to the events of Oblivion in a way that makes it seem like he was a first-hand witness to them: With Jyggalag and the new Daedric Prince of Madness now separate beings, there are now 17 Daedric Princes existing at the same time, instead of having one Prince alternate between two identities.The Sheogorath you once knew is gone, having been replaced with Jyggalag.Mantling may only be possible when there are no individuals currently possessing the role.Reanimating the Staff of Sheogorath allowed the Champion of Cyrodiil to mantle the title of Daedric Prince of Madness.Haskill, Sheogorath's snide servant, will also refer to you as Sheogorath. Fare thee well, Sheogorath, Prince of Madness. I will take my leave, and you will remain here, mortal. It is only here that the implications of their actions become clearer. With this complete, the Champion confronts the rampaging Jyggalag and defeats him in combat. To do this, they reanimate the Staff of Sheogorath, an important item to the position of Daedric Prince of Madness. This is the process by which a mortal becomes a god - or a Daedric Prince, in this case. The Champion of Cyrodiil then takes steps to undergo what is known as mantling. Towards the end of Shivering Isles' main quest, Sheogorath disappears, presumably to be replaced with Jyggalag.

Oblivion dlcs chaos god