It's important to know that the first goal is to confuse your surroundings, friends, ennemies, and such. I once, during my playtime quite a lot of years ago, met a mob bearing the name of Ljotur the Lunatic, an insane amount of health, morphing abilities, and attacks that had a damage range between 1 and 4k or something. The gear he'd drop had fixed stats, but random ones with completly unfitting values that could have been useful here and there.
It's also important to know that madness doesn't always rhyme with danger. Sheogorath helped the Dragonborn making Pelagius' mind so boringly sane that the prince wouldn't want to stay in there any longer. It's like if you intentionally stabbed yourself in combat. That creates confusion, that's your goal.
Therefore, you'd need to build in a way that would make people go like "What the f- is that skill build?"
The first thing that comes in mind with that mindset is... Alchemy! But without the Purity perk! To create potions and poisons that have weird drawbacks with their intended uses. A paralysis poison that increases the target's stamina regeneration as example. Or a boost to your destruction spells that reduces your resistance to shock, and so on!