Browsing the forums and some videos I've seen on youtube have come to a fairly split opinion on how insanity is viewed within the community,
While many preach that there are very few downsides to insanity and a player should be insane within the 1st day and wish for dramatic buffs to shadow creatures and the threat that being insane brings, while others adamantly say insanity is hard enough and that any increase will hurt the player base, especially the new player base. My idea would be a compromise between the two, while keeping with what I believe Klei's idea of risk/reward system in DST in long term planned gameplay.
This would better fit how don't starve works, everything is planned in long term, so theorized like thus:
0-1 day of insanity, just crawling horrors show (maybe 1 nightmare fuel per kill)
2-3 days of insanity terrorbeaks begin to show (1 or 2 nightmare fuel per kill)
4-9 days of insanity larger packs of terrorbeaks start to appear (up to 5 at a time)
10+ days random shadow monsters appear, these are just shadowed versions of any regular enemy/mob in the game (non giant bosses) with rare variants such are vargs, mctusks, treeguard, and ewecus (spit only damage not the stun) and these could drop a lot more nightmare fuel, beard hair, living wood (depending enemy) or one of 3 common gems (blue, red, and purple)
This method would give an increasing risk; increasing reward while not requiring even new assets to be generated by Klei apart from shadowing out a character model, making it much easier (thus more likely) to institute. Would also appease both sides of the fence while allowing new players to only have "light insanity" vs a more professional player diving headfirst into insanity to reap those rewards. The only break I would give players for consecutive days insane would be they have 30 seconds of coming up above the sanity threshold to get it back down under it, since killing too many at once might restore too much sanity to keep it, and shadow creatures do not stop attacking you during this above the sanity threshold window, unless raised substantially. (or another variation is you can only get the 30 second grace window if you do it by killing a shadow creature, and not by other sources such as food.)
For a further fetched idea, stay insane for 30+ consecutive days and you can fight shadow bosses or even giants that can drop orange gems or anything from a chest that appears in the ruins.
P.S. This is just a thought it threw together after watching a video, so if you like some parts of it please run with the idea in other directions.