There are Shrine quests.

Some Daedric Princes, however, will not give you their quests via their shrines. These quests can, instead, be found at specific places. These Princes are Malacath, Mephala, Molag Bal, Namira, Sanguine, Sheogorath, and Vaermina. Nocturnal does not give any quest, but, rather, she appears in the Thieves Guild questline. The only Daedric Prince that does not give any quest is Jyggalag.

Azura's Star

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The quest at Azura's shrine asks the player to retrieve the defiled "Azura's Star", the infinite soul gem that has appeared in other games. The player must recover Azura's Star and, upon success, will have two options: a) bring it back to Azura's shrine or b) bring it to the Necromancer that helped earlier in the quest. Either choice will require the player to enter the Star and defeat the soul that is defiling Azura's Star. If the player brings Azura's Star to Azura, they will be rewarded with the Purified Star, which can only absorb the souls of creatures. Bring the Star to the Necromancer, and the player will be rewarded with the Black Star, which can only absorb the souls of the playable races (these souls count as Grand-level souls).

Mace of Molag Bal

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The Mace of Malog Bal can be found in the city of Markarth. Once walking through the main gate, outside of the "Abandoned House", a Follower of Stendarr will ask you if you have seen anyone entering or leaving. Going through the conversation will trigger the quest "House of Horrors". Once this is complete the player will be rewarded with the Mace of Molag Bal.

Dawnbreaker

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Dawnbreaker, a 1-handed sword, can be obtained at "Statue to Meridia". It's a simple quest that requires you to find her beacon, and then to "lead Meridia's light" through the dungeon underneath her Shrine. To do this, you activate pedestals with little glowing balls of light, in sequence throughout the dungeon. The dungeon itself is filled with Draugr and wraiths, and is somewhat complicated to navigate. At the end you have to defeat a powerful Necromancer who apparently defiled her Shrine, Malkoran. Upon defeating him, you retrieve the sword, Dawnbreaker, and receive Meridia's thanks.

Mehrunes' Razor

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Mehrunes' Razor is the knife from Oblivion that the Mythic Dawn used. It's obtained by completing a simple chain quest. The first part of the quest is visiting a descendant of the assassins of Uriel Septim, Silus, who runs a small museum dedicated to the Mythic Dawn. It has several things from Oblivion; the Commentaries, Mythic Dawn outfit, the sheath to the Razor, and the page from the Mysterium Xarxes. The first part(s) of the quest have you gathering the pieces to Mehrunes' Razor. After that you meet him at the Shrine of Mehrunes Dagon, talk to Mehrunes himself, and kill Silus.

Ebony Mail

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Ebony Mail is a variation of Ebony Armor. The quest requires that you sacrifice one of your followers after which Boethiah will speak to you and her followers. She commands you to kill each other, last man standing will have the honor of doing a task for her. The task is to hunt down and kill her champion, taking the Ebony Mail from him and wearing it thus making you her new champion.

Wabbajack

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The Wabbajack is a staff, given by the daedric prince of madness, Sheogorath. The Mind of Madness quest is started in Solitude when talking to an apparently insane homeless man, named Dervenin, who tells you his master is on vacation in the Pelegiad wing of the castle. When you investigate, you are transported inside the mind of the mad king Pelagius. There, you find Sheogorath who offers you a bargain: escape Pelagius's mind, and he will return. At the completion of the quest, he gives you the Wabbajack, a staff that, when cast, transforms the target into another creature, summons a minor creature to attack the enemy, summons a lightning cloud and, in one case, completely destroyed the enemy, scattering coins all around.

Masque of Clavicus Vile

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The Masque of Clavicus Vile is a Heavy armor helm, this is given by Clavicus after returning the Rueful Axe to Clavicus. The quest is started in Falkreath after acquiring the task of luring out a stray dog the Blacksmith was interested in. Upon finding the dog, to your surprise it talks. He then lead's you to Clavicus's Shrine at the back of Haemar's Shame. Clavicus agrees to take back Barbas(the dog) if you collect the Ruefull Axe from Rimerock Burrow and return it to him. After acquiring the axe he offers to let you keep the axe if you kill Barbas with it. If you choose not to kill Barbas, you will receive the Masque of Clavicus Vile instead.

Ring of Namira

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The Ring of Namira grants the user with 50 extra points of Stamina and feeding on corpses grants a bonus to health and health regeneration. To begin the quest talk to Eola in the Hall of the Dead in Markarth and then meet her at Reachcliff Cave.You have to clear the cave of Draugr. Afterwards Eola will have you bring a priest, Verulus from Markarth to the shrine. Once there you will have to kill Verulus and eat his flesh. Namira will then speak to you and grant you her ring.

Spell Breaker

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Upon finding the shrine, Northeast of Markarth, speak to Kesh the Clean. He will ask you to bring a silver ingot, a deathbell flower, vampire dust and a flawless ruby. Once you have those items talk to him again to have him make the essence. Breathe in the essence to begin talking to Peryite. He will ask you to travel to Bthardamz and kill an elf named Orchendor. After you slay him return to Peryite and claim Spell Breaker from him.