Don't know why but this game has me more interested in the lore then the other 2. So I know we are playing 200 years since oblivian. But what about since morrowind? This is game 5, is there any common thread running through them? Or are they seperate games just loosely sharing a timeline?
Lastly I read somewhere that this is the "last" elder scroll. What does this mean for the franfise? I realise they can do whatever they want, it doesn't HAVE to end, but just curious about some possibilities for what's next?

http://www.uesp.net/

Each game is focused and based upon the prophecies of the elder scrolls. However after skyrim I believe there are no more elder scrolls prophecies. They can either make some up or make unique story lines for future games I.e huge multi faction civil wars.

This. best source of Elder Scrolls lore. Make a thread in the lore section if you don't get what you need.

Morrowind matters because it ended the rule of the Tribunal, therefore seriously weakening Dunmeri power. Morrowind was mighty. The only nation annexed to the Empire by treaty, not conquest, it had gotten to keep its own laws (like legal slavery and assassinations) and religious institutions intact. Why? Because Morrowind had literal physical gods keeping out the Empire for hundreds of years. The destruction of ALMSIVI can still be felt more than two centuries later in Skyrim, the Dunmer now being relegated to the rank of refugees with a ruined and war torn homeland in the aftermath of the Oblivion Crisis, the eruption of Red Mountain, and an Argonian invasion. Being freed of tyrant God-Kings is not necessarily a blessing when you realize they were the ones keeping out all these angry people who hate your slaver, murderer guts....

Oblivion matters because it brought an end to the Septim bloodline and the covenant between Emperors and the Nine Divines through the sacrifice of Martin and the destruction of the Amulet of Kings. With no true heir of the dragon blood on the throne, the Empire descended in petty wars between claimants and provincial unrest with the back to back secessions of Argonia, Elsweyr, Alinor and Valenwood. The dark brotherhood quest line of Oblivion is also very important to the Dark Brotherhood quest line of Skyrim.