I have to admit, I find him really annoying as well. Like Nazir, I'm just not a fan of clowns or jesters and I find them a bit irritating. However, during the quest to eliminate Cicero, the spectral assassin you get from the spell granted to you mentions it being a bad idea to kill him and makes some reasonable arguments about it. After all, the nightmother did speak and whatnot, and I believe from Cicero's point of view he is merely trying to uphold what the Dark Brotherhood is really all about. So I figured I'd let him live after all--which is crazy cuz I was totally intent on killing the guy at first.
I'll give him a try as a follower. Who knows, he might grow on me. There was a change in his tone towards the end of the quest that leads me to believe there is more to the guy than simply being a silly, annoying, madman.