Read http://www.uesp.net/wiki/Lore:Nirn page. The bar on the bottom lists every one of the lands we know about so far. You can also view http://www.imperial-library.info/maps/minibigmaproadslore31gv.jpg fan-made map (from http://www.imperial-library.info/maps/) that accurately displays what every land we have maps of looks like. And you can read http://www.imperial-library.info/pge3/other_lands.shtml to read most of what we know about the known other lands.
As for exploring the other lands, it depends. Exploring Akavir is a big no-no. You know that feeling you get when you think "I wonder what's there?," Well that's there for a reason; so that Nirn seems like a real place. Just like we wonder what other planets would be like to visit, wondering what Akavir is like makes Nirn seem more real. Visiting the lands on the map I linked to may be okay, because they're so small and nearby, but they all exist for the sole purpose of adding realism to the world.
And as for the Oblivion crisis, I don't know if other lands were affected by it, but they may have been. Other people will know more about that than I do. But I'm pretty sure Dagon's main target was Tamriel, as it's sort of the center of everything.