I've seen a few interesting theories regarding Skyrim's Dragonborn, as to where he ends up in the Afterlife. I've heard one regarding essentially the first daedric lord/first realm he travels to is where he belongs, essentially being "property" of that first place/entity. Kind of like, first dibs. If you pledged to Nocturnal before any other Daedric lord, or before visiting any other realm, for instance, she would claim "ownership" of your soul. 

Another theory I heard is that, since they're basically going to die with 100+ dragon souls, they'd use this to "barter" with said entities of the afterlife. Interesting, but i'm not sure on this one. Sure, Hircine would probably wage war with other Daedra just to get ahold of a few dragon souls to participate in great hunts, and think of how much darker the shadows would be under Nocturnal's guidance with a few of them as well. 
[hider=Spoiler] Hermaeus Mora might do good(er...or bad.)with a few too, seeing as Miirak practically killed the last of them in Apocrypha. [/hider] but in the end, it'd probably just turn into an all out ethereal war between the cosmos, each Daedra probably ripping apart the Dragonborn's own soul just to get more dragon souls than the other. 

I've come up with one theory myself. 
[hider=Le Theory]
Basically, and stay with me here, he becomes a sort of ethereal drifter. Either that, or he becomes his own sort of cosmic entity with his own realm. Following that first bit, he's the only single individual with more soul power than anything else on Mundus. He's arguably more powerful than Talos before he questionably became a god, and he's arguably travelled to more planes of Oblivion and Aetherius than anyone before him. His soul, his actual mortal soul, becomes attuned to each and every one of these planes. Granted, Hermaeus Mora contains more knowledge of such things than any other entity, and the power he provides you in the DLC is practically unheard of. What other powers might he grant the Dragonborn? I think his soul is sort of granted the power by ol' Herma Mora himself to travel anywhere in Oblivion and Aetherius he wishes at will. Either that, or his soul is sort of left to it's own devices, and left to wander said planes, never confined to just one. One moment he's partying in Sovngarde, ends up blacking out and waking up with a hangover in the Evergloom. Perhaps he's bored, catching up on a bit of forbidden knowledge in Apocrypha, winds up hungry and goes to Hircine's Hunting Grounds to catch some bears or some other huge beast, drag his catch back over to Sovngarde and prepare an otherworldly feast in Shor's honor. Maybe he'd pop by and visit the Nerevarine on the weekends, when he's not giving Mehrunes Dagon a swirly or getting him to fork up his lunch money. All jokes aside...
[/hider]

What are some of your theories? I'd like to hear other ideas players had on the concept.