Technically, I have to vote "Dragons are unaligned"—but my hope is that Alduin is the threat. While not trying to [censored] [censored] up because he has an agenda (i.e. not aligned), he has a job to do (i.e. destroy and remake the world). I will reproduce my excruciating details below:
Ooh I like this kind of metaphysically stuff tho. I don't really know anything about the trinity you mention, but a quick look http://www.uesp.net/wiki/Daggerfall:The_Underking makes it sound like Wulfhart is the Underking :shrug: But I like this idea, of the 'oversoul' of Lorkhan. What you say at the end really intrigues me:
"Maybe the Mythic Dawn was right about one thing. Lorkhan is a Deadra lord and Tamriel his is realm, the Aedra simply "stole" it. The "oversoul" is simply the "undead" Lorkhan too weak to exist in the flesh, but still trying to take control over his realm. "
This got me thinking about something I read while preparing http://dl.dropbox.com/u/11220983/Fragmentation%20of%20the%20Void%20state.pdf (the beginning of TES universe). From http://www.imperial-library.info/content/morrowind-sithis:
As the legend goes from there, Lorkhan conceives of the mortal plane and convinces the Aedra to give of themselves to this world. What the Aedra are crafting into the mortal realm, though, is Lorkhan himself. That is why the Aedra could not destroy his heart: "This Heart is the heart of the world, for one was made to satisfy the other" (see the http://www.imperial-library.info/content/morrowind-monomyth-altmeri-heart-world). This is where it becomes unclear. Tradition dictates that perhaps Lorkhan ('Shor') is poised to incarnate another avatar that will rise up against the present order, and the Dragonborn is the avatar of Akatosh incarnated as a counter. Here is the twist, tho: Shor's supposed previous incarnations (one of whom was the ancient king of Skyrim: Ysmir/Wulfharth) were all sided with Man. Mer on the other hand (excepting Dunmer) fought against humankind in the name of their perceived divinity, Auriel (Akatosh) (see http://www.uesp.net/wiki/Lore:Before_the_Ages_of_Man). In Nordic mythology, though, Akatosh (Alduin) is not simply benevolent, but neutrally the creator and destroyer of the world. This suggests that the real threat looming is in fact the misappropriated Alduin, with the Dovahkiin perhaps being the next avatar of Lorkhan. "Dragonborn" may not mean "born from the dragon [suggesting Akatosh]", but may actually be a reaction to the appearance of the World Eater, more "born for the dragon," or "by necessity of the dragon."
This, in my opinion, is unlikely—but awesome. I have visions of a grim Skyrim storyline, where it slowly dawns on the player over the course of the game that this battle cannot be won. The world is going to end, and Alduin is going to bring about the next one. It is the player's destiny to face the Dragon, but it is also their destiny to lose. The aspects of Lorkhan that have been embodied (essentially, all of Nirn) will be stripped of their forms and reshaped into something new: The Elder Scrolls VI. :ahhh:
[edit] http://dl.dropbox.com/u/11220983/Fragmentation%20of%20the%20Void%20state.pdf, according to the above 'Alduinian' anolysis.