I'm currently doing the Daedric quests and have tried to find Erandur at the Windpeak Inn in Dawnstar to start the Waking Nightmare quest, but he isn't there. I've waited every hour of the day and searched all over the town as well. I'm sure I haven't previously killed him. Anyone any ideas why he isn't there?

Why don't you ask for spoilers in the spoilers section?

I will move this for you as you obviously missed the pinned thread that says not to post spoilers in the General Section.