I was reading the book "The Children Of the Sky" in Oblivion, and it said that Nords have a roar that is so powerful it can be used to kill opponents, sharpen weapons, communicate over hundreds of miles, and even be used for teleportation. It even said that the great warriors in the northernmost tip of Skyrim have to cover their mouths with a gag, because if they speak, they'll cause destruction of buildings etc. Now, I don't know if this was exaggerated in the book, but has this ever been shown in the games?

What you refer to is called Thu'um, you can read more about it in the "The Tongues" section of http://www.imperial-library.info/pge/skyrim.shtml. No, its never been in any game.

it has never been shown in a game but there is one obsure text that deals with this that you may find interesting
http://www.imperial-library.info/obscure_text/lahs.shtml (lusty argonian historic society papers)
there is a section that deals with the thu'um or the "way of the voice" also called tounges. it is demonstracted and debated.

Who the hell were the lahs? Were they an ye olde forum niche, like the whirling school, or did Mr. Goodall completely fabricate them?