Exchange between Doctor Clocktor and The Mad God: "So I assume you are here to spread madness?" "Why would I need to do that? Isn't the world already mad?"
The Daedra are often called gods and demons, and for mortals there would seem there is little difference. However, this is far from true. The Daedric Lords are not aligned with either the demonic beings of the underworld, nor any entity from the paradises above. For these Immortals are all in service to Order, as are all Immortals actually.
The Daedra on the other hand are of Chaos. In fact, they are the chaos of reality. Thier influence is intertwined with everything, regardless how assuredly a god might believe otherwise in his/her/its creation of life.
There is two things the Daedra are aligned with. Sithis (or Padomay), the primordial being of Chaos who views reality as a blank sheet that only occasionally sports a mere pinprick of color. He is their father, and their slayer when the plane of Mundus (the plane that houses the whole sum of reality) finally crumbles back into the Void.
The other is a force more numerous than anything else in reality. And who's might can grow to match any Immortal. The one force that continuously does so too. Mortal life. It is the Daedra that mortals owe everything to. Power, drive, genius, confidence, etc. For the Daedra are Chaos and it is that chaos that allows mortals to grow, adapt, and change to survive. An Immortal is an Ordered being. Never ages (or at least has slowed the passage of time on their body considerably). They keep the status quo and try to silence chaos with order (unwittingly causing more). Immortals rarely grow stronger, and if they do, the Mortal that they once were is at hand. If they were never mortal, they will never grow.
The Daedric Princes suffer only themselves as rivals, for no god or Aedra can match thier power. They could easily kill any god or simply ignore them till the god was wasted away by time. However the Daedric Princes do try to refrain from doing so for one reason, they are outnumbered by the gods, demons, and Aedra of Creation. If they started war with the infinite pantheons of gods and the near infinite number of remaining Aedra, it would a long war of tedium and annoyance. Even with their unrivalled might, there are some gods who'd take a great deal of time and effort to kill. So in order to keep peace the Daedric Lords have accepted to abide by a series of rules, known as Compacts.
- The Daedric Lords are not allowed to slay immortals important to the Afterlife system. Demon Princes are an example of such beings.
2. The Daedric Lords can not manifest in their entirety in the "realms of the living." They can use avatars however.
3. The Daedric Lords may not harm souls in Purgatory.
These are just a few of them.
A daedra's immortality and power is certainly something to be amazed by. The Daedra are so interwtined with reality, they can remold any aspect of it quite easily. There is no power in Creation that is not at their disposal (though their skill using it varies from Daedra to Daedra, even among the Daedric Lords). Their immortality is another curious ability as their souls are nearly indestructable. For Lesser Daedra, one can capture thier soul and expend it in enchanting. The Daedric Princes on the other hand do not have this weakness, even if a artifact could exist capable of capturing their soul. Upon capture, their soul would somehow reform outside of it.
Additional Information of the Daedric Princes can be found here: http://en.uesp.net/wiki/Lore:Daedric_Princes
Azura: Daedric Prince of Dawn and Dusk (no player)
Boethiah: Daedric Prince of Plots (No player)
Clavicus Vile: Daedric Prince of Power and Wishes (played by Sheo)
Hermaeus Mora: Daedric Prince of Fate, Knowlegde, and Memory (played by Sheo)
Hricine: Daedric Prince of the Hunt (Played by Sheo)
Jyggalag: Daedric Prince of Order
Malacath: Daedric Prince of the Spurned and Ostracized (No Player)
Mehrunes Dagon: Daedric Prince of Destruction and Change (no player)
Meridia: Lady of Infinite Energies (is a self proclaimed Daedric Prince, but is welcome in the Pantheon) (no player)
Mephala: Daedric Prince of ???? (no player)
Molag Bal: Daedric Prince of Domination (No Player)
Namira: Daedric Prince of Darkness and Decay (No Player)
Nocturnal: Daedric Prince of Shadows (Played by Sheo)
Peryite: Daedric Prince of Pestilence and Natural Order (No player)
Sanguine: Daedric Prince of Debauchery and Merriment (Played by Sheo)
Sheogorath: Daedric Prince of Madness (Played by Sheo)
Vaermina: Daedric Prince of Dreams (no player)
Many have sought a way to purge the Daedra from Creation, but they have only proven how fruitless that quest is. They are here to stay till Creation finally crumbles away. However, these researchers have found some lost nuggets of information that may suggest that the Prince's position maybe taken. Clavicus Vile, Malacath, and Sheogorath are all Daedric Princes that under gone interesting changes.
Clavicus Vile once did not have his companion. It is said before Barbas, Clavicus was a living conduit of power. In fact, so much so his mere thoughts could destroy. This is why he took Barbas. He couldn't do anything. The Limitless potential of Mortals he represented was too uncontrolable. Barbas wasn't split from Clavicus Vile, but adpoted and made his partner. Theroists guess the other Daedric Princes could do the same, possibly go even further and give all the might of a Daedric Prince to another.
Malacath was once known as the god Trinimac, then the Daedric Prince Boethiah turned him into the Prince of the shunned. This fact is of great interest, as it was often considered impossible for new Daedric Princes to come into exeistence. The Gods wouldn't allow it, those already here are enough of a problem. It is suspected that Boethiah had overthrown the previous Malacath, and forced Trinimac into his empty position in the Pantheon of Daedric Princes. He/she didn't add to their ranks, Boethiah simply replace one. If this is true it could mean their power is tied to a position in Creation, rather than it coming from themselves. If so this would mean they are similar to the Demon Princes and anyone could take their position. However since one can't kill a Daedric Prince to achieve this goal, other steps would be needed and those are a complete mystery.
Sheogorath's past is known to very little, but he was a very different being in the early days of Creation. He was known back then as Jyggalag, Daedric Prince of Order. If there was such a thing as a Daedric King, that title would have belonged to Jyggalag. All the other Daedric Princes came to fear him, his might was that great. In a rare event, the Daedric Princes acted as one. Together they changed Jyggalag into Sheogorath. Order to Madness. This history suggests two things. First is that even the Daedric Princes cannot kill each other. Second, that a Prince can be fundamentally altered. That second note has been a glimmer of hope for many a god, aedra, and mortal, but alas it seems such a change requires the full house of Daedric Princes to pull off.