I get why the player-character would want to do favors for the Daedra. The artifacts they hand out are pretty freaking sweet. Likewise for servants of Azura (prophesy), Hircine (lycanthropy), and Noctournal (thievery). These are tangible benefits to serving the Daedra over the Divines or regional deities.

But why do people choose to serve Daedra like Molag Bal, Sanguine, or Vaermina? Not everyone can get the awesome artifacts they hand out, and they just don't seem to offer any real perks for serving them. So why do it?

Also, why do the Daedra so freely give out their prized treasures to a total stranger who does one relatively minor quest for them, rather than the people who have served them for years upon years?

Sanguine: ultimate party

I'm under the impression that serving Molag Bal isn't voluntary.

In TES, the gods are not only actually present in mortal affairs but they are also numerous, and they have their appeals. I could see Sanguine getting quite a lot of followers.

And the "total stranger" is the Hero. He or she isn't just a total stranger, he/she's the person who can get the job done.

Sanguine: for fun
Sheogorath: because he already took their minds
Clavicus Vile: because people like to gamble
Hircine: the hunters wish for the ultimate game
Mehrunes Dagon: For the ambitious and destruction creators
Vaermina: for the ultimate dream....or nightmare
Azura: because her protection and love for her followers knows no bounds
Boethiah: For the glory of the battle and the taste of victory
Peryite: for cleansing the world and restoring balance
Nocturnal: to become one with the shadows and hide in plain site
Jyygalag: for perfect order
Molag Bal: to torture and corrupt
Malacath: for strength and power and maybe you're an orc
Namira: maybe you are hideous or want to leave a world that supports beauty and refuses to look at the less fortunate in appearance, or you're a cannibal or someone who just likes the disgusting part of the world
Mephala: to be apart of the webspinner's plot is the greatest honor, too overthrow or become a part of history
Meridia: to stomp down those who practice the dark arts and become seen as a holy hero
Hermaeus Mora: For the chance to gain entrance to the library of infinite knowledge

I like to think of it as a metaphysical grasp at a power grab. The Hero brings some kind of metaphysical benefit to the various Daedra lords and they gift the Hero with their artifacts for some pittance of a favor to tie that hero to them and profit from the Hero's power and influence.

I do not know how they benefit from the Hero, but when they do, I am convinced it is not unsubstantial.

Because of the ideas that they are. Not every Hircine worshipper is a werewolf. I would imagine most men who hunt and trap for their livelihoods are keen to please the god of the hunt so they don't starve, for example. Don't look at it in the grand scale only.

With Princes like Boethiah and Molag Bal you come for the promises of power and domination and stay because if you don't you'll be destroyed and tortured for all eternity.

Yeah. Like big-game hunters honor Hircine. And we all faced regular unnaflicted hunters working for Hircine in his quest on Skyrim.

The Hero, in doing the Prince's will, enacts their essence on Nirnplane in such a way to make the devoted shrine-polishers seem as groveling dogs after scrap. Misrule demands action, not the breathed lies of toads.