there really is not a consequence to anything you do in skyrim as it relates to the overall story or other questlines which is really a shame.

They don't seem to mind Azura's Star.

Meh, I lose my soul, I'll find another one. Quite easy to find actually. I use them all the time to make great rings of power. The only problem is that they keep getting stolen by little people on quests to slay dragons... and spiders for some reason.

Read that: http://www.uesp.net/wiki/Lore:Daedra

Deadra are NOT "Evil Overlords" !

What part of their actions do you consider 'not evil'. Being forced to beat an old man to death, sacrificing someone who trusts you, kill everyone else to survive, kill people who like you to make a weapon stronger. I could go on.

TES lore is far more complex than that.

Okay then, give me some lore that will show them in a nicer way, that makes up for the vast number of evil things they have done over the TES games.

The problem with the Daedric artifacts is they don't benefit from the same smithing perks once you get them , they just use a random smithing material for the upgrade pocess. But I'm not sure if the devs expected people to go absolutely [email="b@tsh!t"]b@tsh!t[/email] crazy finding every single min/max glitch in the game , although looking at the earlier games they should've totally expected it. As it stands playing an evil character and having better stuff already kinda makes you wanna be more...... evil , like go into a rage you wasted your time on some cheap bastard invisible voice. If you're trying to be good and RP in a way as to "save your soul" put the game down sir, walk away , take a deep breath , then come back and not play like half the damn game trying to be good.

Never played TES games before , I'm hoooked on this one , but the rule of the day seems to be that evil gets rewarded with absolutely everything and anything , there's even very few alternate choices leaving you with just not doing a whole bunch of stuff. But I figure the game seems to now cater to people more worried about extreme slow-mo decapitations etc. In the end , RPing a totally good character is way more challenging and i guarantee you that you will be faced with very attractive grey areas in the game.

IMO they should remove the "and improve them twice as much" effect from the smithing perks, it makes you to powerful. You can make strong enough weapons to survive on master without them, and strong enough armor to meet the cap. Which so many players are desperate to do early on.

They should also remove the daedric smithing perk IMO, you should only be able to make daedric weapons using the atronach forge. Maybe give the player another way of finding a sigil stone without 90 conjuration.

You shouldn't be able to craft the strongest armor, before you have even step foot in a dungeon, or left whiterun.

Some may be considered bad, others not.
For someone who is totally new to the ES-series it might be a bit hard to understand.

If you want to learn more about the deadric princes, I would recommend to you to read
http://www.uesp.net/wiki/Lore:Daedric_Princes

Also, Deep-In-His-Cups keeps finding you after the Sanguine quest. He was even killed by a dragon once, but somehow came back alive to extort money out of me...

The only affect I have seen any of the Daecric artifacts have is related to Molag Bal. The guards and NPCs will say " get that thing away from me" if you have it out around them. They never actually run away or anything, it's just a line they use....

Its not that hard to understand -

Basically Daedra are amoral rather than immoral. If it amuses them or furthers their plans they will do it with no concern for mortal lives or feelings. From a mortal's pov I'd say they are evil.

Every Deadric princ(ess) is different.

Yet the majority of them force evil onto the world.

But they all (except Merida perhaps) play games using mortals as the pieces.

Everyone has a different opinion, but I wouldn't say that deadra princes are generally evil.

I didn't say they were evil, I said they were amoral.
The point I'm trying to make is that to a Daedric Prince a mortal isn't of any consequence. From a mortal's pov they are evil because they don't follow any moral code, manipulate and decieve mortals, and the consequences of dealing with them are usually bad.

Have there ever been consequences for being evil in TES games?

I'd say running into Sheogorath and doing his bidding was more odd than evil. Helping Sheogorath is only evil if you consider entertaining a sinful madman an evil act.

the "fun" thing about sheogorath is acually that he is the Champion of Cyrodiil from Oblivon (the player's character)

Also, I think Bethesda should patch the game so that I DO get hunted down occasionally for my Daedra worship. I'd like to be hunted at the most inopportune times, such as them waiting for me inside a quest dungeon because they've been asking around about me and somebody snitched that I was helping them. Of course they shouldn't spawn until I enter the dungeon, because I don't want my game getting bogged down if they spawn in dungeon I won't go to for 20 hours.

I'd find it interesting if there were consequences for colluding with them, sure, but what I'd find even more engaging would be consequences for not obeying them. Hircine asks me to kill someone, I reply, "Nah, I'm not really in the mood," and he goes, "K. I'll get someone else to do it for me." Er, what? Shouldn't he be at least a BIT peeved that a mere mortal is refusing him? I'd love to have a dialogue where he'd laugh off my lack of cooperation and say he'll give me a week to think about it. That the consequences will be grave if I continue to turn him down. And then, after a week, have him track me down and lock me down with two simple but devastating options: either I obey him or he - insert horrible act -. Like killing my follower, stripping me of all my belongings and leaving me on a frigid mountain peak, slaughtering five random innocents. Now THAT would be a price to pay for remaining righteous.

Hunted? By whom? For what? On whose authority? The divines are irrelevant, those are what remains of the brethren of the Daedra Princes that gave up most of their power in order to create the world. The only entity more powerful than the daedra that meddles in mortal affairs is Sithis, calling Sithis an omnicidical nihilist would be a crass understatement.

Of course friends of someone you killed for certain Daedra could track you down, but so could the friends of random bandits you slaugthered in some forsaken cave. And yes, Molag Bal might send a few bullies after you when you betray him and try to get Boetiah's favor as well.

Hunted by those high elfs in the super awesome armor and with the intense bigotry.

The Thalmor, I believe.