On travelling to other planes of Oblivion, read the book The Doors of Oblivion. It is really hard, very dangerous and risky and sounds near impossible ot get back.
actually no book says it is hard to get back, no book talksabout it iirc, and it is only risky to the unprepared (such as the ash pits need magical levitation and breathing, or hircine has deadly creatures always hunting for mortals)
i like the idea myself, but the deadric princes would eaither kill you or just do something strange/chaotic (who KNOWS what sheogorath will do, he could give you millions of cheese rolls...or turn nirn into a giant cheese roll, his choice), and dont forget the ability to talk to people over great distances (even over the barrier to oblivion)