I'd like to tentatively put forward Jauffre. There is a lot of circumstantial evidence that points towards him being the Great Knight, leader of the Blades, who crops up in conversation once or twice in Daggerfall. That would make him Lady Brisienna's brother... I must say, I was surprised Brisienna never resurfaced after Daggerfall. There's a lot of potential and juicy tidbits about undercover Blade espionage in her history that would have made her an ideal addition to Oblivion.
Yes, I think it is very possible. He's gor right age, race, position and appearance.
But it must be noted separatly, as we can't be sure indeed.
Actually, you saw Azura in Person at the end of Morrowind and Tribunal. In Morrowind, she'd give you the Ring of Azura and some speech, and in Tribunal, she'd give you some speech as you left Almalexia's palace after finishing in Sotha Sil.
Yes, I remember. But player controls was disables there, and Azura just played some animation and disappiared, so i counted as cutscenes... Maybe incorrectly.
It still counts! I'm popular!
But I noted it was only cutscenes in Daggerfall
I always hear the occasional rumour that the ex-Blade you fight in the Arena in Oblivion is Caius Cosades. Seems a bit iffy though.
Hmm, I doubt: Caius Cosades must be in the Kragenmoor be the time of Oblivion Crisis, IIRC.
You could make the case for the sword Umbra being a returning "character". Umbra's supposed to have an identity of its own that eventually subsumes that of it's wielder, right?
Yes, Umbra also must be noted.
Another one special case is Night Mother. It is uncertain if Severa Magia from Morrowind and Night Mother from Daggerfall are somehow related to Night Mother from Oblivion; also for Night Mother from Daggerfall there are noted in UESP that "it is not known whether she exists as actual person in the game".