It is a completely different experience. SI is... well, it's the Spaceballs to Oblivion's Star Wars, the TES equivalent of Alice's Wonderland. You can't help but love it unless you've got no sense of humor. It's even better because you can play it without
feeling silly; because it is part of the extended TES world, it doesn't require any mental backflips to shoehorn into the story.
The place sure is weird, and it would make no sense whatsoever if it were part of Nirn/Tamriel... Yeah, but it's ruled by a lesser god who's absolutely batty. What would you
expect the Madgod's realm to be like? Dagon's realm wouldn't make any more sense if it were part of the mortal plane of existence, but we accept that it works just fine and dandy for the Daedric Lord of destruction and bad nastiness to have a great big volcanic wasteland with broken bridges and washbasins that spout blood instead of water and other such crap. That Sheogorath's realm is inhabited by mortals in addition to daedra makes it that much more interesting to poke around in.
It's a good buy even if your character (like most of mine)
isn't one of the mad. It really nails that "I've been sucked into a strange alternate universe and suddenly have to save the world" bit, only without the schlocky magical schoolgirls.