I agree. For mer, that's what was missing in Oblivion. I don't know why they didn't include a lot of the lore. They did in Morrowind, and it added so much atmosphere to the game.

Also, for a bit of history, one must remember all of the Wolf Queen related material.

Slightly relevant is also "Wabbajack", which mentions several locations I hope to see in Solitude. (for those not well versed in Daedric nonsense, this is Pelagius's account of how Sheogorath drove him mad.)

Anyone who is serious about understanding nords, or don't want to come off as being extremely ignorant, you need to read the material Lady Nerevar kindly linked to.