Then you get into a big fight with them, you're brought into a different realm (like Azura's Star) they have all these awesome powers that do severe damage to you and make you actually think of a strategy in order to defeat them. Such as they're immune to "X" spells ie: frost damage and fire damage but you don't know that until you experiment with different combinations. Or perhaps, only 2 Handed swords would be enough to penetrate there armor (if any), etc.
Upon defeat, they won't die but they'll just admit they've been bested by you and you're more than deserving of the Daedric artifact. From what I've seen playing Skyrim (my first elder scrolls game btw) is that some have a body but some talk to you spiritually in some form. I'm sure that they're strong enough to mold into a body that'll fight you, something like those spirits you see walking around in some dungeons and soforth.
Just adding a little spice to it, making the Daedra seem more interesting than "Hey do this for me and I'll give you this!". I would've loved to fight Mogel Bal (er however you spell it) he seemed like a worthy foe and very powerful.
What are you thoughts?


