While undeniably a Mind Screw, there's something absolutely epic about the 36 Lessons of Vivec. We get to see how Vivec came to be, how he got to be the Physical God he is and all the fantastical things he did with his power, all told in a grand, mythological style. It's been cited as one of the greatest pieces of video game lore ever.
Gyna successfully defeating the King of Camelorn, who tried to murder her as a child in The Mystery of Talara.
Elsaf Erol's entire tale in Beggar, Thief, Warrior, King.
Vernaccus and Bourlor is one long setup for one of these. Long story short; an archer who never misses shoots an arrow at a daedra, who vanishes into Oblivion before it hits, the arrow instead burying itself into a tree. The archer loses his legendary status because he has missed a shot, and the daedra becomes famous for avoiding the arrow. Time passes, the archer dies, the daedra has shrines built in his honour. The shrines to a daedra who "can avoid anything" are a tempting target for vandals. The daedra shows up to chase some away from a shrine, only to be struck in the back of the head by a thrown rock. Shamed, he flees inside the shrine. Another rock hits the door as he enters, causing it to close and hit his back. There was a rusty arrowhead stuck in the door, which pierces his back. The very same one he supposedly avoided so long ago. The door had been made out of wood from the tree the arrow was buried in.
While also funny, Sheogorath's 'champion' (a tiny bird) managing to outwit and defeat Hircine's champion (A freaking daedroth with lycanthropy) during Sixteen Accords of Madness is really freaking awesome.
Turning on his heel, Sheogorath beckoned the miniscule songbird to perch atop his shoulder, and strolled down the mountain, making for the warm breezes and vibrant sunsets of the Abecean coast, whistling in tune with the tiniest champion in Tamriel.
Sheogorath's Paranoia Gambit in "The Contest of Wills", in which he drives Ravate insane by sitting back and letting the mage's own paranoid nature do all the work.
Azura and the box is the purportedly true story of a mortal (a dwarf but a mortal nonetheless) outsmarting a Daedric Prince. Nchylbar, a retired Dwemer adventurer, had some Dunmer priests summon Azura so he could test her divinity with a simple question: What is inside a box he had made? Azura rightfully guesses it's contents, but when it's opened, it's revealed to be empty. What makes this awesome is that Azura's sphere include "prophecy" which means that she knows the future and is essentially omniscient. When the box opened to reveal that it was empty, Azura was so shocked and enraged that she immediately disappeared instead of facing the humilation of being wrong. It's noteworthy that other versions of the story include some kind of damage control to make it seem like Azura was still in charge of the situation. One variant is that she killed everyone in the room, another that she was never decieved and only killed Nchylbar for his insolence, another still claiming that the design of the box is what tricked her.
