What are these places? I always thought of them as Oblivion, but I doubt that's true. Are they the equivalent of Asgard or Mount Olympus, home of the Gods? Just another planet the Gods decided to create? Or something else?

They are moons, not planets. Masser and Secunda (Spelling?). They are lore wise, the dead body(s) of the god(s) who created Nirn.


TES astronomy is not the same as our astronomy.
http://www.uesp.net/wiki/Lore:Masser
http://www.uesp.net/wiki/Lore:Secunda

Specifically, they're two halves of Lorkhan's dead body.