Indeed, I somehow doubt that Bethesda had some grand plan for the entire series all along, while Skyrim might be made out like it's what everything the events from past Elder Scrolls games were leading up to, when Bethesda created Arena, it seems unlikely that they planned for the events of it to eventually lead up to the return of dragons and Alduin trying to eat the world, especially since I suspect that at the time, Bethesda had not even concieved a being called Alduin. I'd imagine Skyrim will just be another episode in the series, I'm not sure where the series will go from there, of course, but I don't believe that Skyrim must be the last game in it. I'm sure Bethesda can still come up with new ideas for threats worthy of a new Elder Scrolls game.
Well, it depends on how you see it. I agree that it seems VERY unlikely that the plan was fleshed out from Arena to Skyrim at the very beginning. But there is another aspect to it. I think the idea of every game leading up to Skyrim might also be a parallell to how Bethesda feels about Skyrim, in the sense that a specific game that would contain the important stuff Skyrim will have was in the back of their heads from early on, while designing the games . The reason I think this: Dragons.
Dragons are a HUGE deal, they aren't like any other creature in the TES World. The possibility of adding proper dragons to the game has been discussed since the beginning, and I remember the untrue rumors that there was a real-sized dragon somewhere in the Illiac Bay in Daggerfall. I'm sure I wasn't the only one running around the mountains looking for it. In Oblivion, the avatar fighting Dagon was shaped as a dragon. I think the devs have been waiting for the technology to improve to the point where they could introduce actual dragons into a TES-game in a way that would do dragons justice as the awesome beings they are. While they waited for this to become a possibility, they made TES III and IV, the last in which they at least had a dragon-shaped being in the end, even though the player couldn't interact with it. When Skyrim is launched, Bethesda has finally given their fans what they have been craving since the beginning of the series; proper dragons that can be interacted with (ie fought), represented in a proper way to fit with the lore. So to them, every game so far has been leading up to the game where they FINALLY get to give us dragons - and as such, it makes sense to give the same impression lore-wise as well. So they make up a story that fits with the introduction of dragons and the events of the previous games.
(The one in Redguard obviously doesn't count...)