I did like seeing the Cassius Curio's name appears in one of the books...
Who or what has a multi game appearance? I can think of the Daedric artifacts..
M'aiq is the obvious one. Artifacts and lore aside, I'm not sure what else would be considered an easter egg.
ESO on the otherhand.. is littered with Easter eggs. From Guars named Corky, to people stealing sweet rolls.
But today's Tuesday...
Barenziah and Helseth are worth mentioning. I love Helseth; he's a treacherous brat in Daggerfall, a ruthless schemer in Tribunal, and he eventually uses his power in Morrowind to... abolish slavery. Like, good job man.
Can't think of many other characters from Daggerfall or Arena that reappear in later games; the first two didn't really have much in the way of characters to begin with, although plenty are mentioned in the lore like Lhotun.
Mannimarco reappears in Oblivion, and the Underking figures in the Sancre Tor story.
Tamriel keeps coming back in each game. Talk about an easter egg!!