I would say choice has a big part to play, after all if you don't choose the main quest, then nothing much happens, the world doesn't move forward. Only by choosing to act does the player become the Hero.

On a side note in my personal version of the saga the reason the hero is never named is because of a herditary curse. At the start of Arena, Ria Silmane says she has managed to hide the players identity, so I figured that since she's dead she can't undo the spell and my hero has to take on temporary aliases because his true name is hidden, and this is passed on to his son and grandson (Morrowind and Oblivion respectively).

We could say another theme of TES is a world in decay. The epic battles and demigods or avatars are all in the past; entire races are gone (the Dwemer) or distant and exotic (Akavir). The Tribunal are a shadow of their former selves; recluses.

When you go to various factions in "Morrowind" to become the hortator, half or most of the people you speak with don't take you seriously. "You want to become the hortator and defeat Dagoth Ur? Sure, friend. Give me enough septims and the title's all yours." The Nerevarine and, later, the COC are like throwbacks to earlier eras of glory.

Although it's not spelled out in the games, a major theme of TES, as given to us by MK, is that it's a consensual reality (as in cyberpunk works). MK presents the Creation as a dream in the mind of an amnesiac deity (AFAIK); the godhead has been fragmented. I'm not saying this well, but the lore veterans know of the many discussions on this topic.

Also think of the collective vs. individual struggle seen in Chim and the Dwemer.