(do we have to mark spoilers in this forum? Also, spoilers for everything in this topic.)

This might be closer to literary anolysis than lore anolysis, but regardless I'd like to hear everyone's thoughts on what themes each game portrays.

Skyrim's theme might be rebellion and the upheaval of rule. The most obvious examples are the civil war, and the Dragon War that set up the background for the main quest. The Great War, too; while no rebellion, the Aldmeri Dominion still put the Empire into disarray, and aim to supplant the Empire completely as the rulers of Tamriel. Less obvious might be the DLC plotlines; Miraak rebelled against the Dragon Cult in his own way, and now he's setting himself up to be a new tyrannical overlord. Harkon, the patriarch of the Volkihar clan, is destroyed either by the Dawnguard or by his own subjects as a result of his mad pursuit of prophecy. A prophecy that claims to end the "tyranny of the sun", although that may be reading into things. The Thieves Guild and especially the Dark Brotherhood questlines reflect this theme as well.

Methinks Oblivion's theme could the conflict of opposing ideals. The Mythic Dawn nearly destroy Tamriel in pursuit of their (or more specifically, Mankar Camoran's) ideals. The Nine Divines are an affront to the Ayleid race, and so Umaril the Unfeathered wages war against the Empire's very embodiment of ideals. The Greymarch is about Jyggalag destroying everything Sheogorath represents; of course, Sheogorath also destroys everything Jyggalag represents, particularly the Library of Order. Perhaps the Mages Guild vs. the Necromancers is an aspect of this as well. Another thing of note with Oblivion's plots is that the antagonist's schemes are foiled by a single variable: Martin Septim, the unknown heir to the bloodline. Talos, the Ninth Divine, whose blessing enabled the Divine Crusader to destroy Umaril where Pelinal could not. Perhaps Sheogorath's mortal champion was the variable for the Shivering Isles; perhaps it was the Oblivion Crisis itself. Sheo's tried several times before to break the Greymarch cycle, but the broken Covenant opens up a new opportunity that was never available before. "Different is good", so quoth the Madgod.

I haven't played enough of Morrowind to be sure, but one theme I'm noticing is transformation and corruption. Bloodmoon probably has the most literal interpretation of that with lycanthropy. Then there's Corprus, the Divine Disease, granting its victims incredible power, and horribly disfiguring them in body and mind; but part of fulfilling the Nerevarine prophecies is getting this disease and resisting its corruption. Almalexia's corruption wasn't revealed until her power began to wane; she terrorized her own people in a desperate attempt to at least maintain the illusion of power. And at the very heart of it (get it...? heart...?), we've got the Tribunal transforming themselves into gods, and the subsequent transformation of the very Chimer people into the Dunmer.

There isn't much to go on for Daggerfall, but the themes of life, death, and life beyond death are present. The ghost of Lysandus and the Underking both wish simply for restful death; Mannimarco, on the other hand, wishes to go beyond death and ascend to godhood. I'll have to sit on this one more, and see if I can't find a more common thread throughout the questline.

And I know very little about the plot for Arena. I don't know if there's much to go on in-game, but there seem to be several events (wars, mostly) that happened during the Imperial Simulacrum that might represent something larger.

Well, as a literature major, I'd point out that anolysis of theme is not a significant part of literary anolysis, any more than anolysis of plot or setting. In high school one learns to anolyze such things as an introduction to literary anolysis, but after that point such things are generally regarded as self-explanatory.

Major themes of Morrowind would include revenge, corruption, and the nature of truth. Of the three ES games I've played, Morrowind is the only one with adequate depth to really stand up to much literary anolysis as it's rooted firmly in the classic monomyth.