Among the demons in the Oblivion Border, the Frost Wolf is the most valuable.
I've begun collecting the Forstwolf's Leathers. If you happen to be near the mountain on the northeast, bring me some Frostwolf's Barbed Leather from Needle Frostwolf and Frostwolf's Steely Leather from Steel Fur Frostwolves.
Most demons here are worthless. Personally, I'm interested in riches, not sob stories about enchanted animals or souls that need to be freed or whatever else.
You can make a decent profit on Frost Wolf leather.