Daedra

The Daedra are a race of powerful beings that roam the many planes of Oblivion. They are entities who did not take part in the creation of Mundus, unlike the Aedra. Though their home is in Oblivion, they have been able to influence the mortal plane of Mundus. Though most Daedra are not powerful enough to manifest in Mundus (without being summoned through conjuration), there are a handful of more powerful Daedra known as Daedric Princes who have a well known presence on Nirn. They are even subjects of worship there. Daedra can not truly be defeated and are immortal. If their physical body dies their souls will go back to Oblivion unless captured in a soul gem.

Etymology
Daedra is of Aldmeri origin and translates to "not our ancestors" which can be contributed to the fact that they had no hand in the creation of Mundus. In singular terms, Daedra is Daedroth yet many use the word Daedra for both singular and plural uses.

Presence on Tamriel
Since the Daedra were not part of the creation of Nirn, they are truly and completely alien to the mortal world. The Daedric races inhabit the various other planes of existence, which are collectively called Oblivion, and, with a few rare exceptions (see Oblivion Gate), cannot interact directly with the mortal plane. Instead, they normally appear only when summoned by a conjurer, and then are present only as long as the mage can sustain their presence. The Daedra's projection onto the mortal world can be slain, though they are often more powerful than native fauna of Tamriel, but this merely sends the daedra's "essence" back to its home plane of Oblivion.

It is possible that killing a daedric creature while on its native plane will permanently destroy it, but this hypothesis is difficult to test, as mortals have as much trouble reaching Oblivion as Daedra have reaching Nirn. The oral traditions of the mer races speak of the Daedric Princes as if they were physically present on Nirn and interacting with the ancient mer, though this may be literary license. There has been only one verifiable instance in recorded history where a Daedric Prince physically walked on Nirn, when Mehrunes Dagon attacked Tamriel at the end of the Third Era. While on Nirn, he was only vulnerable to (and defeated by) an avatar of the Aedra Akatosh. The effect this defeat had on Dagon is currently unknown.