I believe we should visit another Plane of Oblivion. But this time, it would be far greater than Sheogorath's Madhouse. Instead, we should visit Coldharbour, the realm of Molag Bal:
Molag Bal. His realm in Oblivion is Coldharbour, it is a copy of Nirn, but in ruins and destruction. The ground is sludge, the sky is on fire, and the air is freezing. It is by far one of the most cruelest realms of any Daedric Prince. Any mortal found their is put in the slave pen or charnel house. All in all, the place is perfect for a DLC to take place in. Imagine the storyline, imagine all of the new things. All of the Daedroth to fight. And perhaps be able to summon one once you complete the DLC and bring it back to Skyrim. It is a beautiful sight, a sight, of domination.
Imagine how phenomenal this DLC would be!