I really like the look to the Daedric ruins in Morrowind. Has anyone already made something like this and if not, I would love to see this for Skyrim.

I think Phitt made those for the Sheogorad mod (oblivion). They could be converted, but I think the project has halted for some reason (not working collisions, maybe?)

There are only Daedric shrines in Skyrim, though only 12 shrines out of seventeen Daedric princess in the game. Azura is the only one with a dungeon right underneath her Shrine. You will gain access to it during the quest "The Black Star". You can call this a Daedric Ruin somehow, its up to you really.