To put it simply, Daedra are immortal beings from the plane of Oblivion. Unfortunately despite the belief that you can kill them, its actually not true. When you "kill" a Daedra, its spirit just goes back to Oblivion. But since you can ransack the body for what it carries anyway, does it matter?
There are various levels of Daedra however. There are the lesser Daedra (some of which are merely unintelligent beasts) all the way up to the Dremora, the elite soldiers of Mehrunes Dagon (the Daedric Prince of Destruction). Some lesser Daedra are of low intelligence, some of medium intelligence, and some are even spellcasters.
The Daedra aren't decidedly evil, though of course in the game you're always fighting them regardless (unless you summon your own). And Daedra can be either male or female, as sex does not seem to make a difference as to ability or rank. The only exception is the Dremora, who seem to be composed only of males.