Sheogorath's Shrine is a Daedric shrine north-northwest of Leyawiin. From the village of Water's Edge, it is north along the road and west of the Wayshrine of Stendarr.
Angalsama, Beewos, Ferul Ravel, Gregory Arne, and Ortis can be found worshipping here. Ferul Ravel begins the related quest, Sheogorath, once you reach level 2; to proceed, an offering of a head of lettuce, a lesser soul gem, and yarn must be made to the shrine.
Two benches and a lectern with two lit candles are in front of the shrine, with three additional lit candles on a rock nearby.