Does anyone know some interesting stories(lore etc.) set in Skyrim region, available somewhere ?

UESP I guess. It has all sorts of cool lore-related stuffs.

It works like wikipedia.

Theres the Infernal City.
But I'd recomend this: http://www.imperial-library.info/

If you want to know your lore, than go to UESP, but if you're interested in the gap between Oblivion and Skyrim then I recommend you read 'The Infernal City'.

-Mr. Maric

Other than rereading what's already available from past games nothing is currently available to give more insight into Skyrim itself. Two TES books, The Infernal City and the recent Lord of Souls, however both give some events in the Oblivion to TES V 200 years gap with new lore and situations established.

It doesn't really touch on Skyrim other than situations that might influence it. I.e. due to some events Skyrim might have a lot of Dunmer and Orc refugees. Or a new family creating an empire out of the Cyrodiil region after the Septim's downfall which might influence TES V or explain war efforts.