Suetonius, Caligula 11:
Even then, he was unable to restrain his savage and corrupted nature. Instead, he regularly took part rather eagerly in the investigations and the punishments of those who had been sentenced; disguised in a wig and a long cloak, he would spend long nights in cook shops and brothels; and he sought out the stage arts of dancing and singing with an immoderate zeal. All of this happened rather easily with Tiberius’ permission, the latter hoping that his fierce temper could be somewhat mollified by these arts. That sagacious old emperor had foreseen the problem with sufficient clarity to predict that Caligula would live to be the death of him (Tiberius) and everyone else, and he used to claim that he was nursing a viper for the Roman people and a Phaethon to burn the whole world.
Naturam tamen saevam atque probrosam ne tunc quidem inhibere poterat, quin et animadversionibus poenisque ad supplicium datorum cupidissime interesset et ganeas atque adulteria capillamento celatus et veste longa noctibus obiret ac scaenicas saltandi canendique artes studiosissime appeteret, facile id sane Tiberio patiente, si per has mansuefieri posset ferum eius ingenium. Quod sagacissimus senex ita prorsus perspexerat, ut aliquotiens praedicaret exitio suo omniumque Gaium vivere et se natricem populo Romano, Phaethontem orbi terrarum educare.