Well, in Morrowind we saw all kinds of Daedra walking around (Winged Twilights, Hungers, Saints) which we never saw outside of oblivion in later games. In Oblivion, Sheogorath can make it rain dogs in Cyrodiil.
http://www.imperial-library.info/content/darkest-darkness explains it's possible to summon Daedra permanently. Morrowind was a land of Daedra worshippers so obviously that got done more.
To open a gate to Oblivion, the mechanic must communicate directly, by spell or enchantment, with the Daedra Lord who inscribed the sigil stone in question. The Daedra Lord and the mechanic jointly invoke the conjurational charter [2], and the mechanic activates the charged sigil stone, which is immediately transported through the liminal barrier to the spot where its sigil was inscribed, thus opening a temporary portal between Mundus and Oblivion. This portal may only remain open for a brief period of time, depending on the strength of the liminal barrier at the chosen spots, several minutes being the longest ever reported, so the usefulness of such a gate is quite limited. --- http://www.imperial-library.info/content/liminal-bridges
I would presume this is how the more permanent summoning is done. Summoner and prince barter on the price. A gate is opened, a Daedra steps through before the gate is closed again.
In addition, Daedric artifacts are the prince.
Not all. Some are merely appropriated.