Except that they didn't when we went there in Oblivion. Let's go someplace else, thank you very much- not "Same old Oblivion realms as last game, but there are dragons now!"
Let's visit some unvisited realms of Daedric princes, and enough with the "been there" rehashes.
Yes, some new places. Oh, I got one. Vaermina's realm! I read a book in Oblivion where a conjurer was almost crying since it was so horrible.
The ever changing nightmare, seeing your worst fears morph and change into your even worse fears.
Or maybe Molag Bal? His realm is identified as a beaten up and destroyed Tamriel Complete with White Gold Tower covered in blood and excrement.