In our group's The Elder Scrolls III: Morrowind (and hopefully The Elder Scrolls IV: Oblivion) retelling, Bivlovismir (or "Evil Biff") as some have called him was an old character I ran through Oblivion and Skyrim with, and talking with the GM he approved the idea. So as far as characters with a grandiose concept, Bivlovismir is the biggest one of my characters thus far.
So here's his story, he is a Wood Elf, born under the sign of the Shadow. He is a member of the Dark Brotherhood. He was sent to Morrowind to deal with the Morag Tong, which he started in Vvardenfel in his lonesome task. "So that's what so grandiose" you might be asking yourself, well I also ran through The Shivering Isles with "Evil Biff." And spoiler alert, he is (unknowingly to himself) Sheogorath, or Jygalagg. One of the two. He has some uncanny knowledge of the Daedric Lords, in that once he began to meet them he recognized them, at first it was only Barnabus, but soon Azura, Sanguine, and Meridia have recognized him. He made deals to find out why they knew him as "Oh, its you..." all the time. He slowly even learned the Daedric language.
In his travels with the Nerevarene and the future Champion of Cyrodiil, he is slowly getting an idea that he is more than just a Bosmer assassin sent across Tamriel to deal out death in the name of Sithis, the Dark Brotherhood, and sometimes the Empire itself. It was when he met Vivic that he began to understand, and reject, the concept of the Universe and Chim. Vivic was wary and even Meridia witnessed him unravel fate before they marched on Red Mountain.