I hope people mention the Hero of Cyrodil and Nerevarine at least once. I remember the Gray Fox mentioning Nerevar once and I actually gasped. It really helped reaffirm the connection between these games... they all are in the world world.
Realistically (Oh no, the R word!) you probably wouldnt here much about it. How often do you overhear people talking about the War of 1812 for example?
Although I think you made a good point, that's probably not the best example. The War of 1812 was 'just another war', wheres what happened in Oblivion was demons and creatures from another realm ripping through reality to take over the land, and the once unknown son of the assassinated emperor transformed into a golden dragon to defeat a 4 story high Deadric Prince. Granted, this doesn't seem too egregious given the TES world, but even still that's some pretty crazy stuff.