The realms of Oblivion are entirely dependant of the Princes governing them. Actually the Prince and the realm are a same entity with two different aspects (an avatar and a place) that both express a same concept. The concept of a Daedric Prince is an answer to suffering: violence, denial, hiding, survival, ignorance, etc. Hence the appearance of a Daedric plane shall reflect this concept.
Another Book of Daedra is used as a lore base to define the personnality of Princes and design their realms.
Clavicus Vile: Unnamed realm
Clavicus Vile's unnamed realm takes the form of a seemingly tranquil countryside, but "a close look revealed withered, twisted foliage and odd melted-looking places", and what appear to be clouds are unnatural streaks of color upon the sky itself. The wind here is said to carry the stench of decay, and strange yellow-skinned daedra wander throughout the realm. Mortals and mortals-looking Daedra populate the countryside and villages, cultivating the ground with souls that flourish into trees and bushes, doing commerce, living quiet seemingly happy lives but envying each others behind kind courtesies.
Hircine: Hunting Grounds
This plane is open wilderness of vast plains of grassland and dense forests. It is populated by lycanthropes and animals typically larger than they would be on Tamriel. The mortals who dwell there are Nords and Bretons for many of them but quite some Bosmers, few of other races and possible witches are to be expected. By day the lycanthropes and game are hunted, by night the roles are inverted and Hircine shows up.
Molag Bal: Coldharbour
This plane looks like a replica of a post-apocalyptic Nirn covered in gore and filfth, it is a terribly gloomy and violent place, a hope-breaking vision of what Nirn would be if enslaved by the Prince. Molag Bal’s servant Daedra is the Daedroth, however other kinds of Daedra can be expected, notably Atronachs and possibly Dremoras. Mortals who were sacrificed to the Prince can be found, tortured and/or enslaved to serve whoever took power upon them (Daedra or other former mortals). Vampires in large population and some witches are found as well.
Suggestion: Using Solitude and its surroundings would allow us to trash a major city of Skyrim for a strong emotional impact, while keeping able to restrain the exterior area with natural barriers quite easily.
This plane is a realm of darkness that reminds the visitor how scary night can be. Locks and traps are found a lot, stumbling upon a succession of several locked doors in a straight simple corridor is not so surprising there and it really feels like a mystery is made out of everything for no reason. Faithful thieves and agents dwell there along with some witches and surely they’re not the happiest persons. Among Daedra, Seducers and Atronachs are the main encounters.
Sanguine: Misty Grove
This plane is as in Sanguine’s quest: open wilderness shrouded in mist. The place is rather pleasant and there are quite some parties going on here and there with people drinking, eating, singing, engaging in kinky conversations, etc. Night seems to last long and day hardly exists between dawn and dusk.
Sheogorath: Madhouse (aka Shivering Isles)
This plane is similar to what was seen in the Shivering Isles expansion of Oblivion but has been reshaped into an archipelago since then (there is also a possibility of a presence of floating islands pouring rain as if they were clouds). New Sheoth still exists but it is not accessible