Sheo's Box of Fun

Warning
It is easy to get stuck during this quest, as there is no exit until the stuffed toy has been found. Save before beginning it, or if truly stuck, use the command: coc "Raal Grotto" to return to the grotto entrance.
Levitation is needed to progress here, so consider bringing a couple of bottles before beginning the quest. You should also have a means of picking a level 25 locked door. Resist/cure paralysis/invisibility effects would also be useful.

Quick Walkthrough
#Speak to   in  , southwest of  .
#Activate the statue of Sheogorath on the bottom shelf.
#Make your way through the rooms.
#Return to Dervenin with Fluffles/Elum for the reward.

Detailed Walkthrough
As noted in the warning above, it is highly recommended that you bring a means of levitation for this quest, as it is frequently needed, and you cannot exit the pocket realm of the Mad God until you complete the task. You will need one in any case to reach Dervenin in Raal Grotto, as he stands on a wooden platform with no other way up.

Speak to him. He will inform you that he has lost an artifact that is precious to the Mad God. It goes by the name of Fluffles, or Elum in later releases. He will ask if you will enter the pocket realm of Sheogorath's Broom Closet to retrieve it. Accept, and he will tell you to activate the small statue of Sheogorath on the bookshelves next to him.

From here on in, you will be stuck in the Broom Closet until you manage to retrieve Fluffles/Elum. You'll come across a number of doors in your journey through this realm, and your ultimate aim will be a hidden trapdoor in a room with a very long drop.

On arrival in the first room, take the only door out. This will deposit you in a room with the unique spear,  , worth a decent bit of gold. Short of a Jump spell, you will need to levitate to the trapdoor in the corner in order to reach the next room. You will arrive in a room where everything is upside down. The trapdoor out is under the upside down table, on the ceiling. This takes you to a room with many doors.

There is only one correct door, labelled the true path, down below. Other doors will either take you to where you have already been, while one, in the middle of the 3x3 arrangement of doors, will take you down a false path. You will need to take this path if you do not otherwise have a means of levitation (but you will need a method of picking locks and disarming traps).

The false path
If you have taken this path by accident, you will arrive in a darkened room with functionally immortal scribs (64,000 health), all of which inflict the paralysis effect on touch. You will have to avoid these and make it to the door out at the other end of the room. This takes you to a room with a bed, surrounded by several chairs. You will have to pick the lock (and disable the high damage trap) on the door leading out to escape.

Doing so will take you to a long spiral staircase. The way out of this is through a trapdoor in the ceiling of one of the little rooms - in this case, the little room that is one floor up from the bottom of the staircase.

You will enter a room with many guars on bookshelves. Pause to pick up a potion of levitation from on top of the far right bookshelf, if you don't have one, and return through the door you entered. This will return you to the room with many doors and allow you to take the true path.

The true path
The door you need to take here is near the end of the room with many doors. Ignore the door at the very end, and look at the row of three doors in front of it. You want to take the rightmost door of these three.

This will place you on top of crates in the next room, with a very long drop below you. The trapdoor to the next room is placed on the bottom of these crates, and this is what you need the potion of levitation for. Use it to reach the trapdoor.

You will be transported to a shrine to Sheogorath, guarded by two Golden Saints. Unless you want the weapons they carry, exit through the door on the opposite side and slay the Scamp there. Fluffles/Enum is under the pillows in the corner of this final room. Leave via the door you entered to be transported to the very first room of the maze. A new door has appeared in the northeast corner, permitting exit to Raal Grotto.

Speak to Dervenin, both to complete the quest, and for your reward - the unique Daedric artifact known as the Wabbajack.
Quest Stages