Do you "have" to play it? No, you really don't "have" to play any of them if you don't want to. If you didn't want to play Skyrim, no-one's forcing you to play that either.
![Wink ;)](http://gamesas.com/images/smilies/icon_e_wink.gif)
But, you aren't missing a ton in Oblivion... I'd say if you have time, play it, just for the storyline. If you don't have time, or don't feel like playing Oblivion, maybe read up a little on the Wiki just for your own edification.