Does anyone know what daedric princes have been in the games and what has happened to them? I started out with oblivion and couldnt stand missing with weapons or whatever in morrowind. If you do help me out thanks.

I only now about Sheogorath in Oblivion (Shivering Isles) and Hircine in Morrowind (Bloodmoon)...

http://www.uesp.net/wiki/Lore:Azura is the one who has been involved most in the games along with http://www.uesp.net/wiki/Lore:Sheogorath and http://www.uesp.net/wiki/Lore:Mehrunes_Dagon, I think thus they will have the most lore about them. She was very influential in Morrowind's MQ. Sheogorath was obviously the main focus in Shivering Isles. http://www.uesp.net/wiki/Lore:The_Book_of_Daedra lists all the Daedra Princes.

Edit: Forgot about http://www.uesp.net/wiki/Lore:Hircine (as mentioned above)

This is probably gonna be better off in the lore or general section, due to the fact that it's gonna contain spoilers and covers TES as a whole rather than just OB.

Clavicus Vile is in Redgaurd.

Isn't sheogorath kinda dead??? He is alive but he is a mortal in a sense I don't think he will be in anymore of the games unless you're his descendant. What happened to merhunes dagon? was he sent to oblivion or did he die and the other princes did they die?

Jyggalag!

Daedric princes don't die. Mehrunes Dagon was cast back to Oblivion.

The most you can do to them is banish them to the Void, which will get you rid of them for the time it takes them to come back to Oblivion. Or you can try to twist them into becoming someone else, like Jyggalag was turned in Sheogorath; but even that isn't likely to work forever.

Mehrunes Dagon has a long history of getting his shiny red butts kicked over and over again. It happened in Battlespire and in Oblivion. Between these two games (and thus with no player involved), it also happened at Kvatch, where he was banished by a detachment of Imperial Battlemages. (Which may explain why Kvatch was the first city targeted by his Daedra horde in Oblivion. He had a score to settle.)

And don't forget, Vivec once outwitted him at Maar-Gan, which is why there is a shrine there, before binding a Dremora there, who's duty is to endure the insults and jibes of pilgrims... nice life.

Most Daedra Princes have separate quests in all of the games, but excluding those, there are:

Azura - Morrowind ()
Clavicus Vile - Redguard ()
Hircine - Morrowind ()
Jyggalag - Shivering Isles ()
Mehrunes Dagon - Oblivion ()
Sheogorath - Oblivion ()

You forgot MD in BattleSpire and Sheo made a cameo in the ending of Daggerfal.

Don't bother with the spoilers btw, over here we'd have to black everything out.