Play whichever seems most interesting/fun to play in your opinion. The story lines don't really mesh together, so that's not a big deal.
My personal favourite is TES: IV Oblivion

It seems that the general consensus everywhere is that Daggerfall is a good starting point(and possibly the best TES game) Never hear much about arena.
Daggerfall is a good starting point agreed. It's a pretty fun game.
As for Arena... meh...