I finished the last two Daedric quests the other night, Sanguine and Vaermina.
Sanguine took an age to trigger. You're challenged to a drinking contest in an inn by Sam Somethingorother. The issue is getting him to appear. He is random, and turns up in an inn you might visit by chance. This lead to me going back and forth between three inns about 20 times. Add on loading times? It took a long time indeed. It was simple enough once I'd found him, though. It was interesting enough, but there was a hell of a lot of back-and-forth.
Finally, there was Vaermina. Dawnstar are suffering from nightmares, you have to stop them. I've had this quest since the beginning, pretty much, but I didn't realise it was Daedric until looking in my guide. Long story short, I got my Skull of Corruption, waited for my 15 artifacts achievement to pop... and nothing.
I checked my list and yes, I missed one (Clavicus Vile), but that shouldn't have prevented me from getting it. But further research showed that the Skeleton Key does not in fact count as a Daedric artifact. I am SO annoyed. Clavicus Vile was the first Daedric quest I did approximately 80 hours previous, and the quest that allows you to get two (Hircine) was the next one, approximately 75 hours of play ago. Alright, it's just 30 meaningless Xbox points, but I was looking forward to Skyrim being my first 100% achievemented Xbox retail game.
Do I pick up an older character and get my artifacts on that one in hopes of getting it? I don't know. The wound is still too raw.
Moral of the story? Never trust a Daedra.