User blog comment:Zelron/The Elder Scrolls V: Dragonborn rumors (Imbedded deep the secrets sleep)/@comment-3025184-20121020011830/@comment-3492791-20121020213435

Well it's kind of hard to explain since it's all fantasy, but consider it like this;

The actual physical form of a Daedra can only be seen on Nirn during their respective summoning. Or in the rare case of Oblivion, Mehrunez got to come when he wanted because the Dragonfires (the barrier between Nirn and Oblivion) were out.

To counter this they can create physical manifestations of their power on Nirn to talk to the mortals there. But they don't need to do this as sometimes they choose to just be an eerie ghost voice. These manifestations are what I referred to as an Aspect of a Daedra. While a Daedra's physical appearance is a matter of preference, an aspects appearance is usually situational.

For example, Peryite is often depicted as a Dragon, but in Skyrim his aspect appeared to you as a rat. Hircine, the lord of hunters, appeared as the Stag you had just killed to get his attention. Hircine doesn't look like a Stag. The lord of hunters looking like a prey animal is just silly. He only appeared in this way because you just killed the same stag he is impersonating.