I remember the Greybeards saying something about the Dragonborn being an exception to all the rules, due to receiving his/her gift directly from the gods, so he/she will probably end up in either Sovenguarde(sp) or wherever they want to end up.
You can pretty much guarantee that whatever happens, a bunch of Daedra won't be very happy. Although come to think of it, most of them never seem very happy to begin with.
If that's true, my toon royally scammed several Daedric princes.
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Dovahkiin: "Hey, <INSERT DAEDRIC PRINCE NAME HERE>, I've completed your quest, and I'll totally sell you my soul if you make me your champion."
<INSERT DP NAME HERE>: "OK mortal, here's <INSERT DAEDRIC ARTIFACT NAME HERE>. Use it for <STUFF ALIGNING TO DP'S GENERAL DESIRES>. Now, for your soul..."
Dovahkiin: "Psyche! Screw the rules, I'm the Dovahkiin. You can't handle my soul. Too bad you already gave me your artifact though."
<DP>: "!$%^$^&*$^#$@%@*#!"
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Repeat that a couple of times, and you get a completionist Dovahkiin's interactions with the various Daedric Princes.