I have found several artifacts throughout the years, with the help of Lothran of course. Some are still in his possession and some have been handed in for other artifacts or simply to finish a quest.

A list of artifacts can be found http://www.uesp.net/wiki/Oblivion:Artifacts and only those that can be used by the player count. The page lists six items that could be considered artifacts, but as they are only there as parts of quests and cannot be used or kept they do not count in this thread. I will now list what I have found, but not necessarily kept. Those I have gotten rid of has a (X) after its name.

You don′t have to list everything you′ve collected like I did, but your favorites perhaps?

Weapons
Blackwater Blade (X)
Chillrend
Goldbrand
Umbra (X)
Volendrung
Witsplinter

Armor
Apron of Adroitness
Ayleid Crown of Lindai
Escutcheon of Chorrol
Masque of Clavicus Vile
Saviour's Hide
Spell Breaker

Clothing
Draconian Madstone (X)
Jewel of the Rumare
Ring of Eidolon's Edge
Ring of Khajiiti
Ring of Sunfire
Spelldrinker Amulet
Weatherward Circlet

Staffs
Hrormir's Icestaff (Stolen a second time for the Frost collection)
Sanguine Rose
Skull of Corruption
Staff of the Everscamp (X)

Other artifacts
Azura′s Star
Skeleton Key

Buffy has been given several artifacts by some of the Daedra Lords:

Azura's Star - she kept that.
Volundrung - she couldn't lift it so she gave it to one of the nice orcs at the shrine where she got it.

The rest of these, she turned into Tar-Meena at the Mystic Archives:
Ring of Khajiti - She's a Bosmer, not a Khajiit.
Skeleton Key - She opens things with spells.
Spell Breaker - A shield? She's a mystic archer!
Sanguine Rose - The only staff she needs is her bowstaff.
Skull of Corruption - Ugh, another staff
Wabbajack - Yet another silly staff

She has talked to most of the other Daedra Lords, but refuses to do what they ask. In fact, she is ashamed of herself for helping Sheo.

Things that I keep on a regular basis, across different characters:

Chillrend. I display it after about level 15, as it loses its luster during combat by that time
Ebony Blade
Goldbrand
Masque of Clavicus Vile
Azura's Star
Ring of Namira
Spelldrinker Amulet
Staff of Indarys, if I am successful. Hard hitting staff that weighs only five pounds.

From what I can remember or quickly locate in my junk chests, I have ‘found’ at least these Artifacts:

Chilldrend
Witsplinter
Ayleid Crown of Lindai
Escutcheon of Chorrol
Helm of Oreyn Bearclaw
Draconian Madstone
Jewel of the Rumare
Ring of Khajiiti
Spelldrinker Amulet
Staff of the Everscamp
Staff of Worms
Azura's Star
Skeleton Key

There are probably half a dozen more stored in some of my other houses or that I sold because I didn’t think much of them. I still use the Jewel of the Rumare, Staff of Worms, and the Skeleton Key.

I would hate to have to dig through Fortja's junk chests to find it all. She did every major quest line except for Dark Brotherhood and Thieves Guild, mapped every location in Cyrodiil and SI, and cleared every dungeon at least once. She was never very interested in money, so she rarely sold anything.

All of the quest award junk is dumped in chests at her two homes (in Anvil, and on the IC waterfront.) She's basically got one of everything you can get at low level, so not many Daedric Artifacts (Fortja was built as a non-leveling character, with 7 seldom-used Majors, and never rose above about level 7.)

Of the list on that page, the only one I have never gotten is the Oghma Infinium. I have done all of the major questlines with one character or another, so picked up the others along the way.

Of all the artifacts Lothran has amassed over the years of adventuring he only uses Saviour′s Hide on a regular basis. When he′s in Bruma he sometimes puts Chillrend and Goldbrand to use, mainly when Taking Care of Le.. the goblins in Plundered Mine

Quite a few odds and ends have passed through Niamh's hands in the (relatively brief) period of time since she arrived in Cyrodiil.
Niamh's problem is that she's never placed much store on value, per se - unless it's value to her...

Some of this I recognise, some sold on, some given back, and some stuffed in a cupboard in Red Rose Manor.

I'll check next time I open the portal, and make a list.

Hmm...let's see. My decrepit avatar has amassed quite a few such items. I'll list only those which he wears regularly and/or uses frequently.

• Escutcheon of Chorrol: Does any vanilla shield best this for melee-range fighters? I think not. A plus, it visually matches Imperial Dragon armor to a tee. Since acquired my avatar wields no other shield.
  
• Imperial Dragon armour: Not the best stat wise, but perfectly suited to my avatar from a RP perspective. These days, when not on official duty for the Legion, he often mixes pieces of Imperial Dragon with stock leather gloves and boots, along with a fur helm. This too is for RP.
  
• Crusader's Relics: He wore these throughout the Crisis (except during its earliest stages). They are now safely housed in the Priory of the Nine, but my avatar can reclaim them at any time should the need arise.
  
• Ring of the Iron Fist.
  
• Mundane Ring.
  
• Necklace of Swords: My avatar prefers blade to blunt. This is therefore his neck piece of choice except for those rare occasions when if feels the need to wield blunt weapons.
  
• Amulet of Axes: This play-through my avatar found an Amulet of Axes far sooner than the equivalent Necklace of Swords. He therefore wielded a mace through most of the Crisis.
  
• Azura's Star: This gets quite a lot of use.
  
• Skeleton Key: It's now stored in a chest at Weye Manor, but was for some time my avatar's lock-opener of choice.

-Decrepit-

On various characters, I've had everything but the Thorn Blade and the Staff of Indarys. I never was able to save those idiots.

Only been able to do it with master archers. Zoom, sneak, fire, then if anyone gets close, don't engage the enemy, only use my custom spells to keep everyone healed and shielded at all times. A summons works well here.

I had an early character whose purpose was to explore everywhere and find everything, so I've had all the artifacts, including reloads to check out the alternatives where applicable. There aren't all that many that I consider worth keeping, but the most likely to be retained are the jewelry with damage reflection as alternatives to armor for the female characters who prefer looking good to being canned.