My favorite Daedric Prince would have to be Hermaeus Mora. He's like the Shub Niggurath of the Elder Scrolls, if you understand what I mean. There's not necessarily much known about him, or his true potential power. Unlike most Daedra, Hermaeus seems to take a neutral stance, very much like the Thalmor when it comes to the Civil War in Skyrim. If you ever talked to Urag gro-Shub, the librarian in the College of Winterhold, he says that the Arcanaeum might as well be his own plane of Oblivion. The coincidence is that Hermaeus Mora's plane of Oblivion is an endless library, containing forbidden knowledge. It's when you notice these little things within Skyrim that it makes you wonder more about this Daedric Prince's very nature. Another interesting thing about him is that his sibling happens to be Mephala. Because of this, he is vaguely related to the Morag Tong. The Oghma Infinium... this is probably the most curious part of Hermaeus himself. Supposedly, he gave a Scribe of Auri-El the knowledge to write it. Auri-El is also understood to be Akatosh, lord of the Aedra. So how could a follower of an Aedra gain knowledge from an Aedra? Or did he deceive people into believing he was a Scribe of Auri-El? Could this person have mistaken Mora for this lord of Aedra? Or is Hermaeus Mora actually Akatosh, disguising himself as a Daedra? Getting heavily into the lore of the Elder Scrolls can really make you ponder such things.