I personally align myself with Meridia, my evil characters worship Dagon and some of my neutral characters make patronage to Peryite and Vaemina.
I find the Daedra far more interesting than the Aedra or Sithis, just by their nature. Daedra represent change, Aedra represent stasis.
As a certain person said to me in oblivion: (Skingrad I think?) "The gods do nothing. The Daedra actually DO things!"
If I may respectfully disagree with this statement. The Daedra represent aspects of mortal sin, in their own Elder Scrolls way, therefore are inherently evil. Molag-Bol, Sithis, even Sanguine exhibit and perform acts that would be labeled as Evil. Less so in the case of Sanguine but his intentions where selfish and self serving.
What Skyrim did lack is the intervention of the Divines. The Daedra have always seemed to take more interest in the ways of mortals, more eager to give out their dreadful gifts to sow chaos in their name. Yet not once has Akatosh, Mara, or even Talos come forth with a request to be their champion.
I respectfully disagree yet again.
Sithis is death (not a Daedra by the way) death is not evil, if no-one ever died, there would be problems.
Although I agree that Molag Bal, Mephala and perhaps Sanguine could be considered inherently evil, Princes such as Dagon, Azura, Peryite and Vaemina should not.
Dagon is the prince of destruction and natural disasters, but is a flood or a storm evil?
Azura is the price of Dusk and Twilight and cares for her servants, so is she evil? (Then again she does have a thing for revenge.)
Peryite is the Prince of pestilence, but is a plauge evil? He also has compassion for his dedicated followers and represents order. So he's a mixed one.
Vaemina is the Prince of Dreams and Nightmares, dreams are good, nightmares are bad. She just happens to be more fond of Nightmares.
You get the idea. Most of the Daedric Princes are the apparitions of the forces of nature, not the sins of mortals. Dagon does seem to act Maliciously, but that is simply the nature of destruction. Destruction is not a peaceful thing.