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.
I'm liking the ideas you guys are coming up with. Just posting to let you guys know I'm still here and excited to see what the finished product of your brainstorming is.