I think what would help with character creation is if we get a sense for what direction we want the plot to go. Personally I think the "agents of the Daedric Princes" could be fun, and would allow for a large variety of goals and such, since all they'd need to do would be to line up with the goals of one Prince. End up controlling the King? That's a goal that would be happily supported by both Molag Bal and Boethiah.