I haven't played anything other than Oblivion. How can we expect to run across them without Oblivion gates? Were they just wandering around in other games, or were they more quest specific enemies?
There are a few in-game books that can tell you more, hang on, give me a few minutes and I'll try and dig them up on UESP.
EDIT: Finally found the one I was looking for:
http://www.uesp.net/wiki/Lore:Liminal_Bridges
http://www.uesp.net/wiki/Lore:The_Doors_of_Oblivion
http://www.uesp.net/wiki/Lore:On_Oblivion
The top one is of particular note as to why we see Daedra outside of normal conjuration and events like the Oblivion Crisis. Basically it outlines a ritual to summon a Daedra permanently to Tamriel.