..I was wondering if I should play Arena first before getting Daggerfall? (The one for free). I'm not sure though if it's the same so I could use some insight on this.
I still haven't delved into Arena much, but I would think you're much less likely to have the patience for Arena if you play Daggerfall first. As far as I've seen (which ain't far), Arena is smaller, and only a subset of all the stuff in Daggerfall. The lore, of course, pre-dates the story in Daggerfall, but much of it is found in books in Daggerfall, so you'll get a refresher then.
I'd say start hunting for Daggerfall now, 'cause you don't know how long it will take you to find it, and while you search, enjoy Arena. It'll have you prepared for the mechanics when you finally do get TES: II anyway.