Thank you all for the replies so far, very much appreciated. That said I apologize if I keep asking the same questions, I just want to make sure I am understanding all of what you folks are trying so hard to help me understand, heh. Here is another example. Lets say in Skyrim an NPC says something like "hundreds of years ago when ruled here, or did this or that" will these be names and people I will get to encounter during Morrowind and/or Oblivion so that when such names come up in Skyrim I can go "oh hey yeah I remember him from Morrowind/Oblivion"
Yep, you will. In daggerfall you meet Barenziah and Helseth, who you will meet again in morrowind. You may know barenziah from the books in all the games. You also meet the king of worms in daggerfall, who you meet again in oblivion(I think that's actually him...).
Also if you read the in game books, you will hear names of towns that you won't get to visit until skyrim and such. An example is "The real Barenziah" books talk about skyrim towns such as riften and whiterun 10+ years before they were introduced into the actual game.
I would just skip Arena, honestly. Start with daggerfall for sure. That is when the lore really starts. All you need to know about arena is that the imperial battlemage jagar tharn imprisoned the emperor for 10 years and pretended to be him during that time, then was destroyed.