The Elder Scrolls
Set in the world of Tamriel and its canonical hell, Oblivion.
Alternate names: Tamriel
Name variations: Oblivion
The first video game about The Elder Scrolls was released on July 1994.
Bethesda Softworks has published all these games
The player gets to meet (and often serve) the Daedra lords in many of the games, so they are important part of the whole. Although they're demon gods of a sort, the Daedra lords aren't depicted as malignant or inherently evil as demonic lords in other mythoses are, although many of their lesser kin are about as savage as any demon. Azura is especially involved with the protagonist in many of the games.