Well I often read about how the Oblivion Crisis is partly caused by the events of Morrowind, and once upon a time I knew it. Problem is... I've tottaly forgotten it besides the fact that I know the connection is there.
And besides that connection, is there for any change a connection between the other Elder Scrolls game that isn't made sure in the first instances.

In TES:II, Daggerfall, you destroy the numidium, which was a tower
In TES:III, Morrowind, you destroy the heart of Lorkhan, which was powering the Red mountain, aka Red Tower

Towers are weird metaphysical thingy mababobers, but one of the things they do is prop up the Oblivion - Nirn barrier

It's also possible that since Jagar Tharn was using Mehrunes Dagon's help in Arena, and Mehrunes was the one attacking the battlespire, these games might have been either foreshadowing or part of what made Mehrunes so eager to attack.

The Mythic Dawn was also the conspiracy behind both plots, right?

You're thinking of the http://www.imperial-library.info/content/nu-mantia-intercept-letter-3.

The connection between the big events in the games (destruction of the Staff of Chaos and Numidium, return of the Heart, the Oblivion Crisis) is confirmed as having led up to the events of Skyrim by the story-wall they've been showing off.