Background
Ba'al discovered how to extract the energy released by a soul's passage into the afterlife, and he proposed the construction of the Nine Hells in order to collect this energy on a global scale. Shortly after that, one of the gods or daedra — some say it was Suspira, while others insist that it was Artela and Lilith working together — discovered that mortal behavior could be drawn on as a source of energy, as well.
These discoveries changed everything; the mortal races, once mere curiosities, were now the most potent energy source on Earth.
Construction of the Heavens
At some point, either after the Hells were completed or during their construction, the Nine Heavens were developed as a base of operations for the aedra and a filter for the living energy they drew their sustenance from.
Levels of the Heavens & Specific Locations
This list is not fully confirmed. The following list is based off of the list of the Rulers of each level of the same level of Hell (e.g. Nocturna has a loose correspondence with Wvelkim, Velena and Suspira are sisters…)
- First Heaven - Wvelkim
- Second Heaven - Artela
- Third Heaven - Akkala
- Fourth Heaven - Samekkh
- Fifth Heaven - Yajiit
- Sixth Heaven - Dokorath
- Seventh Heaven - Velena
- Eight Heaven - Dvalin
- Ninth Heaven - Kammoloth confirmed
The Heavens as opposed to The Hells
The Hells were constructed to process the energy from the mortal souls of those who died, until that energy is gone. The souls actually reside in the Hells until the energy is processed sufficiently. However, the Heavens process the ongoing energy generated by those who are alive in the Material Plane. Their energy of day to day life is what filtered through the Heavens, and enriched each of the Aedra.
The Great Fall and Hauntings
After the The Great Fall, nothing is known about the status of the Nine Heavens, just like it is unknown what state the Nine Hells are in.
Author's Notes
Sources: conversation with RavenB/Etherius at the SSDWC 2010 Summer (not) Picnic and conjecture