Daedra come in five varieties (aside from the Daedra Princes you can summon, but cant touch): Daedroth (sometimes called a Lesser Daedra), Daedra Seducer, Frost Daedra, Fire Daedra and Daedra Lord. You must have Mithril or better weapons to hit any of these guys.
Daedroth: (Armor 1, Health 27 to 146, Damage 15-50/Spell) Spell attack (usually Silence) plus very good melee skills. Adamantium or better to hit them. The Fighers Guild isnt kidding when they say be prepared for a tough fight. Treasure is usually money, but theres another item occasionally.
Daedra Seducer: (Armor 1, Health 28 to 154, Attack 15-50/Spell) Likes to get in close, zap you with a spell, change into a female with dragon wings and then beat up on you. Shes not quite as tough of a fighter as the Daedroth, but still a rough opponent. If you have Spell Reflection up her spells (usually Energy Leech) will recharge your fatigue if she fails her save. Treasure is money and an occasional ingredient, but I've picked up a couple of armor pieces and weapons off of them, too.
Frost Daedra, Fire Daedra:
Ranged spell attack (frost or fire, depending) followed by melee. These guys are hard hitters and have lots of hit points. Treasure is almost always money, though the Fire Daedra will occasionally carry something else.
Daedra Lord: (Armor -10, Health 30 to 170, Damage 70-100/Spell [Shock, Fireball, Wizard Rend]) Easily as tough as the Ancient Lich. Likes to zap you then close for melee. Treasure is almost always money and ingredients.