And why did he wait so long to come out, like why didn't he come out in bruma or kvatch?

I think that is a very good question.

I think the basic answer is that Mehrunes Dagon didn't think he needed to enter Mundus. He figured Mankar Cameron had every thing under control. He certainly thought he could easily destroy Bruma with the Siege Machine without him appearing in person. He probably figured it was beneath him, and would leave it up to his minions. After all you wouldn't expect him to dirty his hands with the destruction of Cyrodiil.

It wasn't until Mankar Cameron was defeated, and Martin was about to re-ignite the Dragon Fires that he felt his personal appearance was needed.

At least that's my view. But it is a very good question.

Great answer, thanks, but I have another question, what is Mundus? I hear it is that moon next to Nirn , but what does Mehrunes Dagon have to do with it.

Here is the UESP article on Mundus: http://www.uesp.net/wiki/Lore:Mundus

Also, if you're interested in lore, you may want to spend some time at The Imperial Library. There is a treasure house of information about almost every aspect of Elder Scrolls lore there. http://www.imperial-library.info/