WIll you be caring over any of these characters to Skyrim?
No. Or at least not specifically. I always use the same character name for all of my first play-through characters, but they are always different. Yes, a lot of time has passed between each sequel, so our characters would be long dead anyway. That's true, but it isn't my actual motive. I simply like to try out different things every time I play, and so for each game I create an entirely new character. They are the same in name only.
What was your favorite character you have created so far per game?
What was your least favorite character you have created?
I focused on magic primarily in Arena; iirc I was a spellsword in Daggerfall; in Morrowind I was a thief/scout type; and in Oblivion I was a short blade fighter type, with a little bit of magic, primarily healing.
I can't say that I had a favorite or a least favorite, as I really only have one character for each of those games. I stick with the same character throughout. In the case of Morrowind and Oblivion, I restarted that character a few times depending on the extend of the modding I added for another play through, but it was still in essence the same character each time.
What is your favorite overall character (only choose 1)
It's really hard to choose. I thoroughly enjoyed each of them, and for different reasons, although those reasons are mostly tied into what I loved about each of the games I played them in. I probably played my Morrowind character the longest of all of them, for no other reason than the modding community helped extend the life of that game for me for several years. But pure sentimentality isn't enough to say that that was my favorite either. I guess I would have to pick my Daggerfall character as my favorite, if for no other reason than I enjoyed that game the most of all of them, and by extension, I had the most fun with that character.