So, I've been through a bunch of daedric quests by now, and acquired quite a few artifacts as well. However, I find it REALLY difficult to cope with some of the demands, as some daedric princes are utterly sadistic and basically want me to do all kinds of atrocities.

Have you faced this reluctance in obeying the daedra? I know the rewards can be good, but some of them require really extreme acts, even for the most badass Dragonborn. I feel bad even thinking about carrying out some of their orders.

Depends on the character's morality but ive never played a character who was in between "evil" and "holy" to the extent of it being a problem. So therefore since my real morality is unaffected by a character's decisions id say ive never been conflicted like that.

Why bother with the Daedric Princes if you're not willing to pay the price?

My characters never get involved in anything too ugly unless they have a specific reason to.

I roleplay an Altmer mage and the Daedric quests are part of her role as an Arch Mage to gather all Daedric artifacts and isolate them from the rest of Skyrim whatever the price. (but the Oghma Infinium was... lost.)

Thats why you roleplay. You can always RP a reason into your story to justify why your character did this or didnt do that. Thats what makes this gMe so great.

My curious elf generally finds out what they want. Then she generally says no thanks and walks away. She wasn't wetting herself to do it, but she did help Azura - even though she has no use for the reward (her only weapon is a mystic bow). Mostly as I said though, she just walks away. In fact, she walked away from the Dragonborn MQ for the same reason - not willing to do what the Daedra Lord in question wanted. Now I will say, she's not particularly interested in trinketry. Most everything she needs she either already has or simply summons it.

I did enjoy the 'Vaermena' one because it allowed you to do the quest but not side with the Daedra Lord.