For me, it goes all the way back to Daggerfall. Two books intrigued me, and really got me thinking: http://imperial-library.info/dfbooks/b055_lightdark.shtml, and http://imperial-library.info/dfbooks/b005_arkay.shtml. The first book continues to form the foundation of my understanding of TES myths; the second, as well. Though TIL claims it has since been "essentially invalidated by later theological constructs", apparently, http://imperial-library.info/mwbooks/arkay_enemy.shtml.
What were the first books that really got you interested in learning more?