Extremely little is known about the Planets. And it all comes from this unofficial document posted by former Developer Michael Kirkbride:
The Planets are the Gods and the planes of the Gods, which is the same thing. That they appear as spherical heavenly bodies is a visual phenomena caused by mortal mental stress. Since each plane(t) is an infinite mass of infinite size, as yet surrounded by the Void of Oblivion, the mortal eye registers them as bubbles within a space. Planets are magical and impossible. The eight planets correspond to the Eight Divines. They are all present on the Dwarven Orrery, along with the mortal planet, Nirn.
The Elder Scrolls Adventures: Redguard.
Redguard's Orrery was breathtaking back in 1998. Even now, many years later, it is still beautiful.
Click on the image to view a video of the Redguard Orrery.
The Elder Scrolls 4: Oblivion.
Although there are not any Orreries in Oblivion itself, there is an official plugin that adds an Orrery to the game.
To not reduce the sales of the plugin, I have decided to provide a video of the Orrery with the ingame settings set to very low. Click on the image to view it.