Apparently there's been some debate as to if Caligual was really insane, or if he was just the target of a posthumous smear campaign. CNN reports that archeologists are excavating his palace, and discovered that he had it built such a manner that an important temple (the Temple of Castor and Pollux - twin gods who "were signifigantly important to the Romans") was his front door. The implication being that when you make the Sistine Chapel of your day into your private foyer and coat closet, there's a good chance you're a bit batty.
The article doesn't give enough info, but I wonder if the Temple he was attached to wasn't the one built by Tiberius (who built a temple to Castor and Pollux in 6 AD [man, back in the single digit years - old school hardcore!]) If you'll remember your "I, Claudius" history of the Roman emperors, Caligula was Tiberius's grandson by adoption (he was the son of Germanicus, Tiberius's nephew - who Tiberius had adopted as a son). When Tiberius died Caligula and Tiberius's grandson by birth, Tiberius Gemellus, were named joint-emperors. However, Caligula had the support of the head of the praetorian guard, and adopted Tiberius Gemellus as his own son and nullified his half of the joint-emperorship... and then he had him killed. Parallels between the Roman emperors and the Jerry Springer show are left as an exercise for the reader. (And yes, I had to look some of that up here.)