I played Morrowind, Oblivion and Daggerfall (in that order) and I definitely don't regret playing Daggerfall after the two more advanced (in theory) games, so go buy MW and have fun. You probably will have trouble getting used to the graphics at first (I had a huge in DF), but you might find amazing things about this and other TES games. I found out I like DF's fighting system best, on default it's less static than MW's and you have actually more control than in OB without being a skilled gamer (in OB I always ended uo leaping forward only to miss the enemy and I felt almost no control over my character in combat, which was much more frustrating than missing in MW, which I didn't even notice).
Bottom line is you should play all the TES games you have the capacity to play. Arena will probably be already "unreachable" to you as it was for me because of the time gap, it's just old and lacking many ease of access features (or dumbing-downs as some would call it) that nowadays' players are used to. But you might still find some fun in Daggerfall and I wouldn't be so hasty as to scratch TES Adventures and Legend (I hope they will be made availble like Arena and Daggerfall so players who missed them can check'em out at least, I'd really like to play Redguard).