Currently they don't fit the story, so Bethesda apparently didn't bother to make them. They'll probably come in one of the expansion packs. Personally I'd very much like to visit a daedric plane or a morrowind-type daedric shrine.
Not a diehard elder scrolls fan. The whole story in the last game was centered around daedra and the planes of oblivion. I don't think you learn much about them in this game unless you find an ingame book on the subject or actually play Elder Scrolls IV: Oblivion.
My previous experience with the Elder Scrolls is as follows: In 2007, I had a 1.8Ghz Pention with a Geforce FX/FX 400 graphics card and I couldn't find any games that work on my computer. I pirated Morrowind onto multiple iso images and backed it up on CD since at the time download speeds were super low. Installed and played it some, but it was really hard! (I broke my spacebar on that PC trying to jump jump jump jump around) so I could move faster. First game I ever saw that had 'items on shelves' you could collect or steal. I was an Imperial, and I eventually killed a ground bug on a cliff that looked out upon the land.
Later (2011), a few PCs later (let's not go there!) and troubleshooting online gameplay, here's the best game ever! Elder Scrolls V : Skyrim. I've chosen to take up from the ashes of Morrowind, and create a Dark Elf. My goal is to unleash the magicka of the Morrowind lands, and eventually garner enough strength through Bowflexin evra day, to help out the Nordic cause! When the red eyes of the dragon met mine on the chopping block, I knew I was in for a good time.
Geographically, if you are still there, where is Oblivion and Daedra? I heard that Morrowind and Skyrim share borders, but I bought digital because I didn't really care for a map of Skyrim since I know each place is totally different in there, but I never seen a local -> world -> global map.