Sanguine is the Daedric Prince of Hedonism Debauchery and the indulgences of Lust, Sloth and Gluttony. Although one of the least evil Daedric Princes, he certainly isn't "good" by any stretch as he encourages sinful and irresponsible behavior that can have severe consequences, as shown in Skyrim. Sanguine is a devious and manipulative prankster, therefore the tasks he makes people do often amount to elaborate mischief whereas other Daedra's quests are more serious, often involving much more severe actions but sometimes serving a constructive purpose. His artifact, the Sanguine Rose, is a flower-shaped staff that summons Daedra.
In Oblivion, he asks the player to crash the fancy dinner party of the uptight countess of Leyawiin, and cast a special spell that removes the clothes of everyone at the party (including the player). Martin Septim, the main hero of Oblivion aside from the player, used to be a follower of Sanguine.
In Skyrim, Sanguine, like many of the recurring Daedra, does not explicitly have a Shrine but rather appears directly as a physical avatar named "Sam Guevenne" who challenges the Dragonborn to a drinking contest. If and when the player accepts his challenge, the game cuts to the next day after a few rounds and it is revealed that while drunk the Dragonborn trashed the temple of Dibella, stole a local farmer's goat and left it with a giant, and stole a wedding ring and proposed to a Hagraven. They have to go out and correct all of these things after which the others who witnessed the drunken antics lead the player to a dungeon in which a portal to Sanguine's realm, the "Misty Grove" is found. There Sam Guevenne is found at a drinking party with several guests, presumably dead followers of his, and when confronted he reveals himself, says that the player's antics have amused him and gives them the Sanguine Rose.