It would be pretty amusing to have the Prince of Madness tromping around our houses! Or even his feline counterpart!
Oh the Cheese shrines I would build...
Seriously though, Sheogorath seems right up the alley for the intent of House Guests. There aren't many Daedric entities I would willingly let into my home, but I would say Uncle Sheo definitely qualifies. The likes of Barbas and Sanguine (If the Devs EVER add him to the game) too, but Sheogorath is number 1!