I remember alduin being adressed as the "world eater" but what does that mean? are there other tes worlds with different races etc????

Alduin is thwe world eater because he ends devours the world at the end of Every Kalpa IIRC

Think more in terms of there were , rather then there are.

Time is cyclical. The world is created, exists for a while, then Alduin comes along and eats it, throws up what he ate, from which a new world is created, repeat ad infinitum.

There is the Black-Welkin, which is a place Not-Quite-There but at the same it's very much there.

About other worlds, is there life on other planets in mundus? Nirn can't be only the one, right?

Those other planets are the remnants of individual Aedra, whereas Nirn is a fusion of all the Aedra who took part in Creation. Nirn is special. Even if there is life on other planets (and to be honest, Daedric minions in Oblivion probably count as "extraterrestrial" life, though I don't know if the Planes of Oblivion count as "planets"--they're not the same as the Aedric planets, anyway), it doesn't matter because Nirn is the hub of the Aurbis, the fusion of all the Aedra, and the location of Lorkhan's Heart--and I'm sure it is many other things besides. Life on Nirn (or at least, life that originated on Nirn) therefore counts for much more than life elsewhere.