We all know the theme. I heard it first in Morrowind, as did many others. It came back in Oblivion, and now we hear it again in the teaser for Skyrim.

However, after a couple Youtube searches, I have yet to find that familiar theme tune in any of the previous games. Was that theme music present for any of the games before Morrowind, or was TES: III its premiere?

It was a new song for Morrowind, so it's not in the older games.

Did it really come back for Oblivion by the way ?
I thought it was only in the trailer ? (probably released before the music for Oblivion was completed)

It was in Oblivion. http://www.youtube.com/watch?v=E3kV1QqQIDM.

This. Music in the prior games was composed by Eric Heberling. Arena's main theme was entirely percussion as I recall, Daggerfall didn't have one, and while the music throughout both of them tends to have a similar degree of atmosphere and a similar general feel there's no overarching theme music that they're all trying to follow along with the way it was in Morrowind and (to a lesser extent) Oblivion.

I don't hear it..care to point out where exactly?

It's quite easy and unmistakable if you know how to anolyze and dissect the music.
Edit: but since you asked, around the sixteen second mark in http://www.youtube.com/watch?v=E3kV1QqQIDM, when the first melody comes in, you'll hear it. It's a variation of the melody that's found in Morrowind's main theme.

You can also hear the same melody at the end of the Skyrim main theme, the bit with the lyrics.

lol..I know how to anolyze and dissect music which is quite embarrassing because I was able to spot the theme immediately after you mentioned where to look. Maybe I was over-anolyzing? The only other time I heard the Morrowind theme in Oblivion was one of the battle music tracks.