Morrowind:Sheogorath's Quest

Quick Walkthrough
#Speak to the statue of Sheogorath at the shrine of Ihinipalit in the St. Delyn Canton.
#Travel to the far end of the Sheogorad Region and speak to Big Head to receive the Fork of Horripilation.
#Kill a Giant Bull Netch with the Fork of Horripilation.
#Return to the shrine to receive your reward of the Spear of Bitter Mercy.

Detailed Walkthrough
Sheogorath's Request
Sheogorath's shrine is easier than most to find, being in the Ihinipalit shrine in the Underworks of Vivec's St. Delyn Canton. You may need to take care of the current occupants to ensure that you have the privacy you need. Activate the shrine to speak to Sheogorath who wants you to recover the Fork of Horripilation from a mad hermit near Ald Redaynia, on the long island north of the main land, and use it to kill a Giant Bull Netch that lives on the island that is directly east of Big Head's Shack, where Nelas Ancestral Tomb is.

Getting the Fork
The hermit, Big Head, is found in his shack, which is on the island Northeast of Ald Redaynia. Though the hermit is indeed mad, he is not dangerous, (and his head is no larger than any other Argonian's) and you can ask him about the Fork and he'll let you take it. He doesn't say where it is, but you can find it on the table looking like a large barbecue fork.

Killing the Netch
Now, off to kill this giant netch (which is also no larger than any other netch) with a large fork... and you wonder why they call Sheogorath the mad one? But not just any bull netch will do! Simply hop over to the next island to the east and look for the "Grandpa Netch" with bushy eyebrows and go Dr. Kevorkian on it with the Fork. The trick is that Sheogorath just said you had to kill the netch with it, so just use whatever weapon to beat the netch down and use the Fork to finish it off (much easier in the latest patch that shows the creature's health). An even easier way to do this is to kill the bull netch and then switch to the fork as the death animation plays and before your journal updates.  You can also cast a spell that does damage over time, and draw the fork as it dies.

Once you kill the netch, return to the shrine. You'll receive your reward, the Spear of Bitter Mercy.

Notes
This quest is still available as a vampire, you don't actually need to talk to Big Head. Simply grab the fork and head to the Giant Bull Netch.
Although you can get the Fork at any time, the Giant Bull Netch will not appear on the island until Sheogorath gives the quest.
The Giant Bull Netch is located on the island due east from where you get the fork, not on the same island.
The Netch has 250 health, and the Fork only does 2–3 damage per hit, which makes it likely the Fork will break before killing the beast if you insist on only using the Fork in this battle.
The Fork drains your Magicka 200 points per second, constant effect. I suppose that will give anyone goosebumps. 
Once you give the Fork of Horripilation to Sheogorath, it's gone forever.
Big Head and the Fork make a reappearance in the TES IV: Oblivion expansion Shivering Isles, during The Fork of Horripilation quest.
In Shivering Isles, Big Head makes a reference to the Bull Netch when you finish his quest and ask him about sword training: "Big Head knows a secret about blades. Point them out, never in. Blade is out - poke, poke, poke! Kill the grandpa netch!"
This quest is referenced in the TES V: Skyrim quest Put A Fork In It.
"Horripilation" is another word for goosebumps.

Quest Stages