They're too weakened to do anything, except occasionally appearing obscurely as avatars. The only one who really seems to actually get stuff done in avatar form is Shor. But his way of getting things done involves slaughtering tons and tons of elves. It could be argued that the hero IS an avatar of Shor/Shezzar/Lorkhan.
Slaughtering tons and tons of elves? Sound's like Shor is the most admirable of all the divine beings in the Elder Scrolls
But in any case, just because the Nine Divines didn't appear in person to fight the Daedra doesn't mean they weren't doing anything to help, they never have been known to directly intervene in the affairs of mortals in the way that Daedra do. I could see that they may have been subtly guiding people to achieve the result that we saw. Certainly, Uriel's words at the start of the game seem to support this, suggesting that it may be more than coincidence that the player character was in the cell in time to meet the Emperor, and he does talk about having seen you in his dreams and suggests that the Nine Divines guide our fates with an invisible hand.
Of course, it could all be the insane ramblings of a senile old man, but I doubt it.
Now, the thing at the end with Martin seemed like a clear example of intervention, but that was because at that point, things had gotten pretty bad, and probably the mortals just wouldn't be able to handle things on their own.