Sai is the God of Luck. Those familiar with him call him by his nickname, Lucky. He was born a mortal and had the talent to spread luck to others, but not to himself. He became a soldier, but he was killed in his first battle just as it was won. Ebonarm appeared to him, and offered him immortality if he agreed to spread his luck around. He said the gods were overworked seeing to events, and thought that Sai's inborn talent would balance things out. He readily agreed, and he was told that he could keep his body for a time before it began to fade.
He became a wanderer and tinker by trade, roaming the world with his grey wolf, Grellan. It was then that he met an unlucky woman named Josea in Skyrim, whom he married and had a child with—"a beautiful baby girl with silver hair, but eyes of cornflower blue". He brought prosperity to the region, which resulted in the Snow Elves being driven from Skyrim and the Nords taking over large parts of Morrowind and High Rock.
His visits to Josea became less and less frequent, until one night she eavesdropped on him arguing with several people. These were avatars of Mara, Ebonarm, Jephre, and other minor gods, such as Springseed. He was told that he could no longer stay with his family, as the luck he had given to the area was having dire consequences. He was tasked to set things right again, and his body was to be taken from him. He could only visit his wife once a year, and only in spirit. He begged Mara for a body, and she allowed him to take the form of a wolf occasionally.
When the gods had left, Josea confronted him. He told her of his true origins and explained the situation. He kissed their children goodbye and told her that she would feel his presence once a year. It took Sai one hundred and fifty years to set things right, and he needed a lot of help. Nords still hold him in high regard which is why they prefer not to kill wolves unless necessary.
In King Edward, a character known as the Slave of Moraelyn was a descendant of Sai. He revealed to Edward that he feels Sai's presence once a year, and his grandmother used to leave a bit of food and a bowl of milk out on winter nights 'for the Wolf'.
Excessive worship of Sai causes the disease known as Sai's Affliction. Sufferers of the disease have been abandoned by Sai, and long for the god's presence. They are driven to incessant gambling, seeking proof of the god's favor. This usually leaves the victim in poverty or debt. Followers of Sai are known to sometimes convert to worshipping Stendarr when Sai abandons them due to Sai's Affliction.