In any manner would it be possible to kill a Daedra? I've heard it said that lore-wise they cannot be killed, simply banished back to Oblivion.
In the games though, we spend some time in some of the planes of Oblivion. What if a souped up Dovahkin found his way to Coldharbour, and defeated Molag Bal while in his own plane of Oblivion?
To kill a daedra, you must first KNOW the daedra, and no one really does, as much as the Daedra are (compared to their aedra rivals) very active in mortal affairs, there is but ONE who has walked both planes. Who has lived as mortal and ascended to a plane of Oblivion, ONE of 17, who you have a hope in hell of convincing to tell you. The hero of Kvatch, Sheogorath. Daedric Prince of Madness.
And what greater madness is there than a quest to slay a God?