Morrowind had a Cafe Press store with lots of stuff, some of its still there (all the stuff with characters from the race and expansion wallpapers). I have an argonian stein myself, and somewhere I have a hat with the Morrowind logo.
There's a lot of unofficial TES stuff there as well if you want to poke around.
ThatOneGuy has already given you a run down of the Oblivion store. All of those items were purchased in advance rather than produced on demand like Cafe Press, so when something was sold out it was gone.
Fallout 3 didn't have any merchandise available to the public so it's possible Bethesda isn't planning to do this any more. Fallout 3 did have a ton of press swag, and at the time it wasn't too difficult to get on EBay. Morrowind and Oblivion had some press swag as well (like leather bound journals) but far fewer were made and even at the time it was rare to see people selling them on line.