Why does he? I mean, he is the coolest looking Daedric Prince aside from Molag Bal and Jyggalag.

Is it just because its Bethesda's way of symbolizing him as an evil supreme being?

I think it's just to show off him being the lord of destruction besides he's a daedra and can take any form he wants so he could be a cute pony if he wanted to i guess

Well, what form would you take if you wanted to strike terror into the hearts of your foes?

His design dates back to Daggerfall, so no Negatives Nancies come in here and complain that Oblivon was too "generic"...