[@Baklava] Well more specifically, Dremora are the soldiers of the Daedric Lord Mehrunes Dagon, there are are several Daedric Lords, which are powerful entities that like to think of themselves as gods. Most of them are considered evil, but a few of them are more benign.
I'll be honest, Skyrim is a great game, and I think you should play more of it. But in comparison to Oblivion, even with it's age and flaws, I consider Oblivion to be superior in story and content. With immersion mods, it's even better. Regardless, both games are totally worth.

And now I'm starting to be geeky, so I'll stop.