Is it really worth it and if so why?

No. You can get them free.

How can I? Can I get construction sets too? Are they worth obtaining?

See that thread that says READ FIRST in big, bold letters? Read that.

It takes all of ten minutes to download and run the games, so it shouldn't be too tough to decide for yourself if they're worth playing.

Both were released free over the last few years, fans have since made proper installers for it so they are easy to set up:
Arena Download: http://www.uesp.net/wiki/Arena:Files
Daggerfall Download: http://www.uesp.net/wiki/Daggerfall:Files

Neither game has offical modding tools, they only started that with Morrowind. There are some Daggerfall mods though where fans hacked game files to add things.

Installers for the games are here:
http://theelderscrolls.wiwiland.net/?title=Arena_:_ArenaSetup_EN
http://theelderscrolls.wiwiland.net/?title=Daggerfall_:_DaggerfallSetup_EN
They provide a pre-configured DOSBox needed to run the games, all available patches, and some useful utilities.

The official releases are here:
http://www.elderscrolls.com/arena/
http://www.elderscrolls.com/daggerfall/
under their respective Game Info sections (but it requires having DOSBox already installed, knowledge of how to use DOS, and tracking down the various patches, so you're probably better off just using the installers).

There are no construction sets for Arena or Daggerfall, but some people may be able to point you to some user-made tools.

Ok thanks.