But is collecting the artifacts the character or actually you the player who wants powerful items?

I know I have always skipped any of the Daedric quests that went against my beliefs, no matter the power.

In general I don't have a huge issue with Nocturnal, Azura, or Meridia (sp?). Hircine I struggle with but I tend to throw him more into the neutral area versus some of the darker lords - those I try to destroy their artifacts or otherwise work against them.

Unless I am purposely playing a character meant to be corrupted, or is on the much darker side, I don't worry about any meta-game issues and focus purely on what they would do in the game context.