I think most people tend to skip Arena and play Daggerfall, which is absolutely worth trying. It has the best RPG mechanics in the series, and in my opinion the best dungeons.
Based on my vague recollections of Arena (Which i played as a youngster, and revisited several years past when the games were released for download) the dungeons are massive and confusing. It's very easy to get lost and spend hours wandering around in circles.
The earlier games don't "hand hold" at all. You have to ask around for directions, figure things out on your own, and try to carry some combination if things that will work in whatever situation you find yourself in. The game doesn't have big arrows to tell you where to go, can't-fail game mechanics, essential NPCs, and other crutches to save you from wrong choices or plain lack of either character or player skills, and you probably won't find the proper tools you need to deal with the current dilemma sitting conveniently right there where and when you need them, unless you brought them yourself. If you're not ready for what's confronting you (and it can be something too tough to deal with at your level), your character will frequently die. The tension can be both physically and mentally stressful, and leave you feeling exhausted. On the other hand, the satisfaction of succeeding by doing it yourself is incomparable. Have fun the " old fashioned way".