I have the following items in my inventory:
Dawnbreaker
Ebony Blade
Mace of Molag Bal
Mehrunes Razor
Sanguine Rose
Skull of Corruption
Volendrung
Wabbajack
Ebony Mail
Masque of Clavicus Vile
Ring of Namira
Saviors Hide
Spellbreaker
Oghma Infinium
Skeleton Key
Azuras Star

And still no achievement. Did I do something wrong?

We just had a thread on this. The Skeleton Key doesn't count. But the list is solid.

Edit: Here it is.

http://www.gamesas.com/topic/1465088-oblivion-walker-trophie-problem/

http://www.uesp.net/wiki/Skyrim:Oblivion_Walker#Achievements

From what I've been reading, the problem may not be with any of the Daedric artifacts. Apparently, the flag "gained a daedric artifact" is part of the quest scripts (which is why you can sell or destroy the artifacts and they still count toward Oblivion Walker.)

According to this:

http://forums.nexusmods.com/index.php?/topic/927008-oblivion-walker-achievement-why-many-miss-it/

The problem lies with DA04 "Discerning the Transmundane," resulting in Oghma Infinium incorrectly failing to count for the trophy.

Suggestion: Start a new character and just get the Ring of Hircine. If you don't get it, then you can also get the Savior's Hide quickly and grab the rest of the artifacts in fairly short order.