Are the daedric quests random as in they are not a quest line?

Also the quest Darkness Returns(Thieves guild quest) the one where you have the skeleton key, how come you don't get to keep the key or is it not an artifact, because i thought you got to keep an artifact from each daedric quest

Darkness returns is not a Daedric quest, it's part of the TG quest line.

You can do another quest for nocturnal and keep her artifact in that quest line (just not the skeleton key).

The daedric quests are not quest lines, you need to do each one individually. Usually there are some basic requirements before you can start however (like having a certain level)

Oh really, what's the other quest involving Nocturnal? I think I missed that.

Some of the Daderic Quests have an element of random to them. They're triggered by NPCs you encounter around the world, which add markers to your map. In one case you may not even realise you're ON a Dadric Quest until you next wake up...

But most of them are at least tagged to one set town or location.

I think it's somewhere in the mountains south of Solitude... But I can't remember exactly.

You mean the "Break of Dawn" quest?
That's Meridia, not Nocturnal. Although the shrines look similar to one another.