In Oblivion. One of the most annoying things imo was that you couldn't be part of "The Mythic Dawn" because you always ended up killing Mankar Camoran. But I agree with the Oblivion invasion, Tamriel was Dagon's and Akatosh banished him. But it would have been cool if I ended up killing Martin.
And in Skyrim needs a deeper story. I mean seriously; the dragons awaken and start attacking everyone, you kill them and become Dovahkiin hero. That's not a very good story. But if the story does end up with a villain I would like to join him. I mean it would add so much more possibilities.
Why would you want to help Alduin? He's going to, quite literally, EAT Nirn. If he wins its rocks fall everyone dies for the entire frigging plane(t). Now, I could see maybe picking sides during the civil war, but the main villain whether his morality is black and white or orange and blue, is a definite enemy to just about everyone that likes being alive.