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>You never meet or speak to the most likable and funny character in the game again, he's just some boring somber god now who wanders off
>leaves the hero of Cyrodil alone in a realm of crazy people as its 'ruler' with nothing to do
>said hero eventually goes insane and will inevitably literally /become/ Sheogorath to give the Dragonborn a side quest in Skyrim
kind of a major downer ending when you really think about it