The Elder Scrolls IV: Oblivion Guide - Daedric Shrine Quests
Location: Travel down the east road out of Leyawiin until the Daedric Shrine marker appears on you compass.
Level Requirement: Level 10
Reward: Skeleton Key
To find Nocturnal's Shrine, start by travelling down the east-most road out of Leyawiin. The altar is along the side of this road, so continue heading down the road the Daedric Shrine marker appears on your compass. At this point, follow your compass to reach the shrine.
Nocturnal does not require an offering, so simply approach the altar and activate it to summon her. She wants you to retrieve the 'Eye of Nocturnal,' which was taken from her shrine by a couple of Argonians. The Argonian thieves live Leyawiin. To receive Nocturnal's reward, you must retrieve the Eye of Nocturnal and return it to the shrine. You must be level 10 to begin this quest.
Active Nocturnal's Shrine to summon the Daedra. No offering required.
The Argonian thieves live in Leyawiin. Locate Weebam-Na's house on the local area map, make your way there, and head inside. The two Argonians, Weebam-Na and Bejeen, should be inside. Speak to both of them, and ask about the Eye of Nocturnal. They, of course, claim ignorance.
If the two Argonians are not in the house at the same time, wait until they are. Once Weebam-Na and Bejeen are in the room together, enter Sneak Mode and situate yourself in an area where the eye icon onscreen is faded. If the eye icon is bright and solid (which indicates that you are being watched), the two will not discuss the Eye of Nocturnal.
Remain out of sight long enough and the two Argonians should start conversing. If they realize you are present at any point during the conversation, they will stop talking. To rectify this, leave the house and enter again while in Sneak Mode.
By listening to Weebam-Na and Bejeen, you'll learn that they've stashed Eye of Nocturnal in a nearby cave; Tidewater Cave south of Leyawiin, to be precise. Exit Leyawiin via the east gate of the city and instead of following the road, head south.
Locate Weebam-Na's House in Leyawiin and ask the two Argonians inside about the Eye of Nocturnal. Then, listen in on their conversation while in Sneak Mode and remain undetected to learn of the Eye's whereabouts.
When you reach Tidewater Cave, be prepared for a fight, as it is occupied by Trolls. The Eye of Nocturnal is submerged at the end of the waterway a few paces from the entrance. Have 'Nocturnal' set as your active quest and follow the marker on your compass to locate the item. Dive into the water and take the Eye of Nocturnal into your inventory.
Make your way out of Tidewater Cave once you have collected the Eye of Nocturnal and return to Nocturnal's Shrine. As reward for completing her quest, Nocturnal rewards you with the Skeleton Key artifact. The Skeleton Key is an invaluable item, and undoubtedly one of the better Daedric artifacts. The Skeleton Key acts as a reusable lockpick, and fortifies your character's Security skill by 40 points. You'll definitely want to keep this artifact in your inventory.