I would like to begin an exordium to the topic Daedric Philosophy by bringing to light the inherent uncertainty of what a Daedric prince actually is. In order to get to the truth of the matter, we may need to look beyond existing ES myth and literature. I say this because I do not believe the writers would require us to break the forth wall, by assuming base-less literature to be accurate, or otherwise, in order to understand the universe.
So we must ask, what do we really know about Daedric princes? The answer is very little. a popular consensus is that they are living ideas. The thinker of these ideas? Oh well, it's certain enough to say that they exist. What about the other, infinite, ideas that do not exist as princes? Who knows?
Very well, a being cannot also be an idea, but this does not bring us closer to fruition of our quest to understand Daedric beings. An alternative is that they are literal spirits of sorts , with a discernible self. One might assume that Princes are likened to lesser Daedra, with a fixed location and fixed energy. But where, if so discernible, are these spirits, exactly? Surely one would encounter a Prince and be able to recognize it. But we have only come across avatars of Princes, implying they either cannot or will not appear themselves. It's worth noting that a creature with a self cannot be an idea- these ideas are incompatible.
However, these are not the only ways to approach the problem. Others claim that the Prince literally is the realm. Thus, the realm is capable of rational thought and is self aware. One inevitably asks, "how does a realm think?" This is no easy question to satisfy, but we may use our understanding of consciousness to lead us. Surely thinking does not take place in stones or rivers or flames, no matter how many there are, but only in discernible thinking creatures like ourselves.
Assume, then, that each realm has become aware through discernible creatures, (or lesser daedra). This would mean that we could refer to them as being part of one organism, and any confusion of their being is caused by our way of describing them, rather than what they actually are. (Perhaps they all share a since of, "oneness" giving the new Prince life of sorts, but of course this is pure speculation.)
Let us consider one final argument for concepts as thinking. There are many followers of Princes, claiming to serve ideas and threat them as beings. We, of course, know that when a person says, "I serve the will of Destruction." What he really means is that he wants to see a great deal of destruction take place. To say that this statement requires an actual will would be to say that there is a cosmic being who sees out that freezing will take place anywhere it is possible. (i.e. The criteria for freezing are meet.) How could such a being be distinguished from things that merely happen, (like melting, for example)?