The Planes of Oblivion
home of the Daedric Princes, are areas of Oblivion that are generally dark, depressing and chaotic in nature. They are generally filled with massive, jagged rock structures, rivers and lakes of molten lava as well as all varieties of Lesser Daedra.
There are sixteen planes in total with each Daedric Prince presiding over one. However, it should be noted that the "planes" of Oblivion are actually just different places in one larger plane. Although most are extremely dangerous and pretty much inhospitable to mortals, they differ in shape and size according to the ruling Prince. For example, the Plane of Oblivion that is encountered by the player in The Elder Scrolls IV: Oblivion is the domain of Mehrunes Dagon, the daedric prince of destruction. In the Shivering Isles expansion, the player is allowed access to Sheogorath's Plane of Oblivion known as the Shivering Isles. Some Planes of Oblivion are encountered during quests, such as the quest for the shrine of Peryite.
The only way to reach Oblivion from Nirn is through Oblivion Gates that are scattered throughout the game world. The chances for an Oblivion gate to spawn is mostly determined by what point in the main storyline you have reached. For example, there is a 0% chance for an Oblivion gate to spawn in front of Bruma at the very beginning of the game, but a 100% chance for it to spawn during the quest Bruma Gate. However, there are some individuals who have the technology and arcane ability to construct a gate to Oblivion. Valerica, a vampire of the Volkihar Clan was able to construct a portal to the Soul Cairn in her her study. She was able to power and sustain the portal using soul gem shards, finely ground bone meal and purified void salts, and even a sample of her own blood.
In order to close an Oblivion gate the player must first enter it into the Plane of Oblivion. There, the player must remove the Sigil Stone from the Sigilum Sanguis (a room which is always at the topmost part of the largest tower in that particular area). Afterwards, the player and any non-daedric NPCs (alive or dead) will be safely teleported back to Tamriel. (Note: Any sigil stones retrieved from the Planes of Oblivion can enchant any unenchanted items, and its effect will still remain on that item forever).
The Planes inhabited by Daedric Princes:
Azura - Moonshadow
Mehrunes Dagon - Deadlands
Molag Bal - Coldharbour
Hermaeus Mora - Apocrypha
Hircine - Hunting Grounds
Malacath - Ashpit
Sheogorath - Shivering Isles
Meridia - Colored Rooms
Vaermina - Quagmire
Mankar Camoran- Gaiar Alata. (Although Mankar Camoran is not a Daedric Lord he created Gaiar Alata or "Paradise" by using the Mysterium Xarxes given to him by Mehrunes Dagon.
Other Planes of Oblivion
Soul Cairn - Ideal Masters