In Skyrim, like the other TES worlds, the Aedra don't actually do anything in the world-space. They already did everything they intend to, by creating it in the first place. The Daedra, on the other hand are directly interfering, and rather powerful when they do so. So I'd probably worship all of them, just to play safe.
Once I'd had some direct contact, I might revise my opinions on whether they warranted worship, and stop if it was prudent to do so. I might also form the impression that some Daedra would prefer an adversarial position. Sheogorath isn't going to let any mortal understand what he wants, so why try?
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Mods for The Elder Scrolls single-player games, and I play ESO.
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