As far as what a Daemon (in spiritual terms) is, it varies a lot by belief. The term is Greek, and simply means spirit. Plato clarified the cultural belief, that daemons were intermediaries between the gods and humans, and may have sometimes done their own errands or worked tasks on behalf of humans.
As for more Judeo-Christian ideas, that's a somewhat difficult concept, as the root for angel means messenger, and the two different terms were used to separate concepts of spirits of God and spirits of The Adversary.
There are more complicated aspects, but it really does vary a lot with specific beliefs and traditions.