The Sheogorath Shrine is another unmarked point. It lies due east of Puddlejump Camp in the inlet to the north-northeast of Flooded Camp.
It has a small flight of stairs leading to a terrace with six columns (3 on the left and 3 on the right). Then there's another flight of stairs up to a smaller terrace. This terrace has a bloody altar with a Crude Grummite Cleaver on it. Behind the altar is a bust of Sheogorath. On either side of the bust are urns with leveled loot.
There is a Zealot and a leveled Daedric creature (Flesh Atronach/Hunger) wandering around the Shrine.