Part of the appeal of this quest is the servants and Sheogorath himself. The offering is simple, considering how short the quest is, yarn, lettuce and a lesser soul gem. Sheogorath, the Daedric god of mischief, is easily found south of Bravil (slightly sw) or nortwest of Fort Redman, ultimately west of the Wayshrine of Stendarr. This close to the end of the game I offer one that not only has a humorous questline but an item that serves little purpose, both close to the end and in practicality.
The best thing here is to decide what you like and what you don't.