Sure, there's a certain mystery vibe to the game. After all, we don't know why the dragons are back, we don't know why Alduin wants to destroy the world (and if we do, don't tell me, I hate spoilers). But it would've been cooler if we had ALL that, plus, we didn't know who we really are, and as we go further into the game, we find out more and more bits of information about ourselves which eventually reveals who we truly are.
So... no, I don't like it. Anyone else feels the same way? Anyone else would've preferred not knowing we're Dragonborn?