As explained in the UESP-
*Note*- the following is to provide information on the various realms and their rulers.
Malacath's Ashpit
The Ashpit is Malacath's realm, and is known as the hardest of the realms to reach, save the ones which are completely inaccessible to mortals. It is described as consisting only of dust, palaces of smoke, and vaporous creatures: "anguish, betrayal, and broken promises like ash filled the bitter air." Levitation and magical breathing are necessary to survive.
Malacath
Malacath is the Daedric prince whose sphere is the patronage of the spurned and ostracized, the keeper of the Sworn Oath, and the Bloody Curse. Malacath was created when Boethiah ate the Aedra Trinimac. The Orsimer ("Pariah Folk" in Elvish) or Orcs were also created, as they were Trinimac's devout followers. Malacath is not recognized as a Daedric Prince by his peers, which fits his sphere perfectly. The Dunmer say he is also Malak (or Malauch), the god-king of the Orcs; he always tests the Dunmer for physical weakness. Malacath spurns physical weakness, hence the above-average strength of the creatures associated with him.
Mehrunes Dagon's Deadlands
The Deadlands are Mehrunes Dagon's realm. It is a dimension that is covered by an ocean of lava, scattered with islands. Several structures exist on said islands, like towers, walls, elevated pathways, and gates, many of which are in disrepair and non-functional. The interiors of the buildings resemble infernal slaughterhouses, with much evidence of human bloodshed. Tourists beware: the denizens of the deadlands will attack any mortal on sight. Fire towers that dot the landscape shoot fire at any mortal who approaches. Many things are on fire, the air is smoky, and corpses hang from poles, overhead arches, and rocks, while heads can be seen impaled on sticks. Harrada, Spiddal Plants, and Bloodgrass grow abundantly in the charred soil.
It is from this realm that Tamriel is invaded during The Elder Scrolls IV: Oblivion.
It is told that Nirn was ruled by Mehrunes Dagon in the mythic age until Akatosh banished him and his followers to the realm of oblivion.
Mehrunes Dagon
Mehrunes Dagon is the Daedric Prince of Destruction, Change, Revolution, Energy, and Ambition. He is associated with natural dangers like fire, earthquakes, and floods. He is an especially important deity in Morrowind, where he represents its near-inhospitable terrain. In some cultures, though, Dagon is merely a god of bloodshed and betrayal. Dagon's plane of Oblivion is known as Deadlands. As the name suggests, they are barren wastelands, consisting of blackened isles in a sea of lava. The Dremora, Clannfear and Scamps are among his servants.
Sheogorath's Madhouse (The Shivering Isles)
Madhouse, or commonly called The Shivering Isles, is Sheogorath's realm. It is divided into halves: the north is called Mania, and reflects the lighthearted side of its ruler's madness. It is similar to Vvardenfell's West Gash Region, with expansive grasslands and huge mushroom trees. The southern half, Dementia, represents the dark and violent side of Sheogorath, and is gloomy and claustrophobic. There are mortals living here as well as daedra. The capital city of the isles, New Sheoth, lies on the Eastern side of the isles, which is also divided into two sections, Bliss and Crucible. Bliss is on the Mania side, Crucible is on the Dementia side. Sheogorath's palace lies adjacent.
This realm is the setting for the TES IV expansion of the same name. At the end of the Shivering Isles Main quest, it is revealed that the Shivering Isles was originally the plane of Jyggalag, who was doomed to reclaim it at the end of every era from madness, only to lose it again. It is unknown whether or not he will claim another plane in the future.
Sheogorath
Sheogorath is the Daedric Prince of Madness, whose motives are said to be unknowable. His realm is known as the Shivering Isles, the Madhouse, or the Asylums. The Golden Saints, or Aureals, and Dark Seducers, or Mazken, are his servants.
It is revealed in The Shivering Isles that Sheogorath is, in fact, Jyggalag, the Daedric Prince of Order. Jyggalag explains that he had grown in power so much that the other Daedric princes grew jealous and fearful. They cursed Jyggalag to live as Sheogorath, the incarnation of the thing he hated most. At the end of every Era, Jyggalag was allowed to take on his true form once again, and reconquer his lands, an event known as the Greymarch. After that, however, he would be transformed back into Sheogorath, and Sheogorath would spread madness upon his lands once more. The player can end this cycle by defeating Jyggalag during the Greymarch occurring at the end of the third era. This releases Jyggalag from his curse, allowing him to remain in his true form instead of transforming back into Sheogorath. After defeating Jyggalag, the player is named the new Sheogorath.
Boethiah's Attribution's Share
Attribution’s Share is the Plane of Boethiah. Previously known as Snake Mount, this realm is characterized by twisted towers and immense maze gardens. The realm is ruled by laws of labyrinthine policy and betrayals are a matter of course. Boethiah frequently holds the Tournament of Ten Bloods here.
You can briefly visit this plane in The Elder Scrolls IV: Oblivion to participate in the aforementioned tournament.
Boethiah
Boethiah (also spelled Boethia) is the Daedric prince who rules over deceit, conspiracy, secret plots of murder, assassination, treason, and unlawful overthrow of authority. He is also known as the Anticipation of Almalexia. Boethiah loves competition and battle, and is depicted as a great caped warrior, often in a stoic pose. Though typically depicted as male, Boethiah is occasionally referred to as female, though of course such distinctions are somewhat irrelevant among the Daedric princes.
Heralded by the Prophet Veloth, Boethiah is the original god-ancestor of the Dark Elves. Through his illuminations, the eventual Chimer, or Changed Folk, renounced all ties to the Aldmer and founded a new nation based on Daedric principles. This worship of Boethiah supposedly came about when he corrupted the Elven God Trinimac (some stories say he ate Trinimac) and took on his form, tricking Veloth and his followers into worshipping him. All manner of Dark Elven cultural 'advances' are attributed to Boethiah, from philosophy to magic to 'responsible' architecture. Ancient Velothi allegories are uniformly heroic successes of Boethiah over enemies of every type, foundation stories of Chimeri struggle.
Molag Bal's Coldharbour
Coldharbour, the immense realm of Molag Bal, is also one of the most inhospitable realms, consisting only of charnel houses and vast slave pens. Any mortal found here is captured and placed in one or the other. It resembles Nirn except colder, darker and more beaten and violent; according to some a premonition of the future of Nirn itself.
Molag Bal
Molag Bal is the Daedric Prince whose sphere is the domination and enslavement of mortals. He is known as the King of [censored]. His main desire is to harvest the souls of mortals and to bring mortals souls within his sway by spreading seeds of strife and discord in the mortal realms. One legend claims that Molag Bal created the first vampire when he [censored] a Nedic virgin, who in turn slaughtered a group of nomads. He is a Daedric power of much importance in Morrowind, where he is always the archenemy of Boethiah, the Prince of Plots. In Aldmeris his name means Fire Stone.
Molag Bal's plane of Oblivion is Coldharbour. The book The Doors of Oblivion says that his plane resembles a copy of Nirn, including the Imperial Palace, but all desecrated and ruined. The ground is sludge, the sky is on fire, and the air is freezing. The Daedroths are typically counted among his servants.
Meridia's Colored Rooms
The Colored Rooms are a collection of realms belonging to Meridia, inhabited by the Auroran daedra.
Meridia
Meridia is an obscure Daedric Prince to mortal eyes, and very little is known about her. She is associated with the energies of living things and bears a special hatred for the undead. The Tract of Merid-nunda paints her as a "wayward solar daughter" who was "cast from the heavens for consorting with illicit spectra." Her realm is known as the Coloured Rooms and is inhabited by the Aurorans, who follow Umaril the Unfeathered and play a major role in the Knights of the Nine quest line. Mankar Camoran attributes her (incorrectly) to Coldharbour, the realm of Molag Bal. She was responsible for the destruction of the Ayleid city of Abagarlas.
The Hero of Daggerfall received The Ring of Khajiiti from her after defeating a sorcerer who betrayed her. Her enemies are Ebonarm and Molag Bal. Her day of summoning is the 13th of Morningstar.
Meridia's strong dislike of undead beings is shown in the quest that the player can do for her in Oblivion. Meridia presents the player with the task of destroying Necromancers who are raiding tombs for corpses to raise an army of the undead. Meridia has a great and everlasting hatred for the undead and will greatly reward any who eliminate them from the world.
Hircine's Hunting Grounds
The Hunting Grounds are the realms of Hircine, being seemingly endless puzzling rooms and mazes inhabited by vicious creatures such as bears, wolves, werecreatures and Daedra. Many of the creatures that inhabit the plane are much larger than those that inhabit the mortal realm. Geographically the plane is made up mostly of dense woodland and vast grasslands and plains. Mortals entering these realms are typically hunted down by the inhabitants.
Hircine
Hircine is the Daedric prince whose sphere is the Hunt, the Sport of Daedra, the Great Game, the Chase, and is known as the Huntsman and the Father of Manbeasts. Hircine created the various therianthropic diseases which transform mortals into beasts, and is therefore the guardian of were-creatures. They reflect his sphere admirably, hunting at night and being hunted by day. Hircine is a sportsman who enjoys giving his prey a chance for victory, however small. He is typically portrayed with a great spear and either the head or skull of a deer.
For more information, see the article on Hircine.
Hircine was featured heavily in Bloodmoon, where the player was forced to defeat Hircine when he attempted to enter the mortal plane. Player will obtain Spear of the Hunter, Hunter's Amulet of Speed or Hunter's Amulet of Strength depending which form of Hircine you defeated. Hircine's typical lackeys on the mortal realm Nirn are werewolves, which he directly talks to, gives tasks, and rewards with additional powers. Hircine hosts a great hunt every era, pitting various prey of his choosing against one another. The exact nature of each hunt varies from era to era.
In Oblivion, his quest requires the Hero of Cyrodiil to go hunting to obtain the unicorn's horn. When done, Hircine rhetorically asks if its blood was drunk and its flesh eaten, stating that no spoils of a hunt should ever go to waste. The hero was rewarded with the Savior's Hide.
During the events portrayed in The Infernal City, the protagonists find themselves in Hircine's realm; a realm of thick forest and open plains. The sound of horns alerts them to Hircine's drivers hunting them; the first an extremely large man who looks like a pale Nord with sinewy arms, covered in blue tattoos and leading huge bears; then a herd of wild, unknown cattle. The horn of Hircine announces Hircine himself and his pack of werewolves.
Hermaeus Mora's Apocrypha
Apocrypha is Hermaeus Mora's realm. It is an endless library where all forbidden knowledge can be found. The books all have black covers with no titles, and the library is haunted by ghosts forever searching for knowledge.
Hermaeus Mora
Hermaeus Mora is the Daedric prince whose sphere is the scrying of the tides of Fate, of the past and future as read in the stars and heavens, and in whose dominion are the treasures of knowledge and memory. His name is also spelled Hoermius Mora, Hormaius Mora, or Herma-Mora. Also called the Demon of Knowledge, he is vaguely related to the cult origins of the Morag Tong if only by association with his sibling, Mephala. Unlike most Princes, Hermaeus Mora does not take on a humanoid form at all, living instead as a grotesque green mass of tentacles and claws.
Apocrypha is Hermaeus Mora's plane of Oblivion, an endless library where all forbidden knowledge can be found. The books all have black covers with no titles, and the library is haunted by ghosts forever searching for knowledge. Apocrypha is Greek for hidden-things.
Azura's Moonshadow
Moonshadow, the Plane of Azura, is a twilight country of shades and half-thoughts that is inaccessible from Nirn, although this has not always been the case. It is a giant garden full of roses, holding such beauty that it makes mortals half blind.
Azura
Azura is the Daedric Prince whose sphere is dusk and dawn, the magic in-between realms of twilight. She is also known as the Queen of Dawn and Dusk, Mother of the Rose, Queen of the Night Sky, and the Anticipation of Sotha Sil. Azura is often associated with the artifact called Azura's Star, a reusable soul gem. Azura is one of the few Daedra who could be considered "good" by mortal standards, and is presumably the only Daedra that shows any concern for the well-being of her mortal subjects, as is evidenced in books such as Invocation of Azura.
Moonshadow is Azura's plane of Oblivion, where she lives in a rose palace. According to The Doors of Oblivion, it is blindingly beautiful and colorful, with flowers, waterfalls, trees, and a city of silver. The Winged Twilights are her servants.
Azura was the god-ancestor that taught the Chimer the mysteries needed to be different from the Altmer. Some of her more conventional teachings are sometimes attributed to Boethiah. In the stories, Azura is often more a communal cosmic force for the race as a whole than an ancestor or a god.
Namira's Scuttling Void
Details Unknown. It is expected to be a place of darkness, disease.
Namira
Namira is the Daedric Prince whose sphere is the ancient darkness. She is known as the Spirit Daedra, ruler of sundry dark and shadowy spirits, and is often associated with spiders, insects, slugs, and other repulsive creatures which inspire mortals with an instinctive revulsion. Namira's followers keep to themselves and prefer living peacefully in dark and squalid conditions, and will react violently at any attempts to "save" them from their abysmal, minimalistic lifestyles. As detailed in the book the Beggar Prince, Namira also appears to be associated with Cyrodiil's beggars, controlling the beggaring gifts of disease, pity and disregard.
Peryite's Pits
Peryite's Pits are the lowest reaches of Oblivion, resembling a fiery and gloomy hell (much like Mehrunes Dagon's) in which Daedra roam.
In The Elder Scrolls IV: Oblivion, the player has the opportunity to enter Peryite's Pits to rescue some of Peryite's followers who trapped their souls in Oblivion in an attempt to summon the Daedric prince.
Peryite
Peryite, also known as the Taskmaster, is the Daedric Prince whose sphere is the ordering of the lowest orders of Oblivion. Some accounts also claim his sphere is pestilence. Peryite's statue depicts a dragon, and is ostensibly concerned with ensuring all things are accounted for, neat, tidy and in their right order. This is most obvious at the end of his quest in Oblivion, he ends off by wishing the protagonist order in his/her life with his reward item, after freeing the spirits of his followers from their imprisonment in Oblivion.
Clavicus Vile's Realm
It is an unnamed realm in the form of tranquil countryside. Within these fields wanders deadly horned, yellow-skinned, Daedra.
Clavicus Vile
Clavicus Vile is the Daedric prince whose sphere is the granting of power and wishes through ritual invocations and pact. Clavicus has a companion named Barbas. While capable of selective shapeshifting, the form it assumes most of the time is that of a dog. Clavicus himself is depicted as a jovial fellow with horns protruding from his forehead.
Sanguine's Realms
Sanguine is in control of ten times ten thousand (100,000) realms, used mainly as pleasure pockets.
Sanguine
Sanguine is a Daedric Prince whose sphere is hedonistic revelry, debauchery, and passionate indulgences of darker natures. Fittingly, he often appears on the seals and signs of brothels and [censored]-houses. Sanguine is depicted as a portly man with a demon-like head with horns, always with a bottle in his hand or a [censored] under his thumb.
Vaermina's Quagmire
This realm takes a form of endless of nightmares and torture, every few minutes changing with a lightning flash from one horrifying vision to another.Vaermina's plane of Oblivion is Quagmire. It is described in The Doors of Oblivion as a nightmare realm, where every few minutes reality shifts and becomes ever more horrifying: "a dark castle one moment, a den of ravening beasts the next, a moonlit swamp, a coffin where he was buried alive."
Vaermina
Vaermina (also spelled Vaernima) is a Daedric Prince whose sphere is the realm of dreams and nightmares, and from whose realm issues forth evil omens. Some have also claimed her sphere ties somehow to torture. Statuary of Vaermina depicts her as female.
Nocturnal's Realm - ex: Shade Perilous
Nocturnal possesses several realms throughout Oblivion. One of these used to be accessible through the Battlespire, and was called the Shade Perilous, but since the Spire's destruction this realm has been isolated.
Nocturnal
Nocturnal, also known as the Night Mistress,, the Mistress of Shadows, and The Unknowable, is the Daedric Princess whose sphere is the night and darkness. Nocturnal possesses several domains throughout Oblivion, one of which is known as "Shade Perilous", and which used to be accessible through the Battlespire, although since the Spire's destruction that route to the realm has been cut off.
Although not a god, Nocturnal is revered as one by thieves across Tamriel. Her reputation as the mistress of shadow has sometimes led thieves to attempt to steal an item from her to prove their greatness. As Nocturnal is usually depicted wearing a cloak and a cowl, it is around these two items that legends have arisen. The story of the theft of Nocturnal's cloak is probably fiction,, as is at least one story of the theft of the cowl, but the cowl is known to have left her possession. It appears to have been stolen by a thief named Emer Dareloth, the first guildmaster of the Thieves Guild,, although a curse bestowed upon the cowl by Nocturnal means that the name of cowl's owner is erased from history. The cowl is inscribed with the phrase "Shadow hide you", which is also used as a code between thieves, either as a form of praise to Nocturnal or a literal expression of hope.
Two other artifacts associated with Nocturnal are the Skeleton Key, a unique item said to be capable of opening any lock, and the Bow of Shadows, which grants the wielder invisibility and speed.
Mephala's Web
Inaccessible to mortals, most believe the realm of Mephala is intricate and woven together like a web, as that seems to be what she rules over as a Lord.
Mephala
Mephala is a Daedric Prince whose sphere is obscured to mortals, also known by the names Webspinner, Spinner, Spider, and the Anticipation of Vivec. Unlike many other Daedric Princes, who almost always appear as the same gender (e.g. Azura is always female, Sheogorath is always male), Mephala appears as either male or female depending on whom the Daedric Prince wishes to ensnare. Mephala's only consistent theme seems to be interference in the affairs of mortals for amusemant. Mephala's sphere seems to indicate a careful plan carried out through executions, each life a portion of a massive web. Mephala sees the affairs of mortals as a weave; pull but one thread and the whole thing unravels. To the Dunmer, she is associated with more simple concepts- lies, six, and murder. Mephala also helped directly to found the infamous cult/society of the Morag Tong. Some scholars also argue that when the Morag Tong was banished from the rest of Tamriel, they were allowed to continue to operate in Morrowind when they replaced their worship of Mephala with that of Vivec. As a reaction to this the Dark Brotherhood was formed, being led by the mysterious Night Mother.
The temperamental Spider Daedra are her servants.
In Morrowind, Mephala was the ancestor that taught the Chimer the skills they would need to evade their enemies or to kill them with secret murder. Enemies were numerous in those days since the Chimer were a small faction. Mephala, along with Boethiah, organized the clan systems that eventually became the basis for the Great Houses. Mephala is the Anticipation of Vivec.
Jyggalag
Jyggalag is the Daedric Prince of Order, but his sphere and other characteristics were not revealed during the early Elder Scrolls games. Prior to The Shivering Isles, Jyggalag had only been mentioned in books such as "On Oblivion" but had not appeared in any games. Jyggalag commands his own Daedra, the Knights of Order, which are spawned from obelisks summoned by his followers, the Priests of Order.
Shivering Isles reveals that Jyggalag is in fact Sheogorath, a fellow Daedric Prince. Jyggalag had grown in power, and the other Daedric princes had grown fearful and jealous of him. They cursed him to live as Sheogorath, the incarnation of the thing he hated most, madness. This is also why he does not show up in the Elder Scrolls universe apart from TSI, he spends most of the time as Sheogorath. He was, however, allowed to return to his true form at the end of every era in order to retake the Shivering Isles from his mad alter-ego in an event known as the Greymarch. However, once this was done, Jyggalag would be transformed back into Sheogorath, starting the cycle again. At the end of the third era, at the dawn of the Greymarch, a lone Champion of Sheogorath was given the chance to defeat Jyggalag, halting the Greymarch before it could conquer Sheogorath's Realm. This released Jyggalag from his curse, allowing him to remain in his true form. The Champion was then permitted to assume Sheogorath's station in the Shivering Isles. It is unknown yet if Jyggalag will ever return to the Shivering Isles in an attempt to retake them, or what will happen to the Champion of Cyrodiil as a result of their new position as the Lord of Madness.
My personal interest would be to see Meridia's Colored Rooms, and find that the Soul Cairn (lord-less plane where undead are resurrected infinitely) has poured into her realm. Being she has an extreme hatred for the undead, there is a bit of irony there.