How the hell does he keep landing his ass in jail then?
With Battlespire being the first game chronologically speaking, its only natural that its hero would be imprisoned as a threat to the Emperor after the events of the game. That's the first time he lands in jail, and its from here that you are freed and finish what you started in the Battlespire. In Daggerfall you don't start out in jail, you start out as an agent of the Emperor. It isn't too much of a stretch to suggest that Uriel gave you a job after you rescued him and being the naturally adventurous individual you are you wouldn't settle for some boring job as a bureaucrat, thus you get sent to Daggerfall. Daggerfall ends with the Warp of the West. You, being the very central figure of this event, are driven completely insane by it, resulting in you being taken back to Cyrodiil and being placed under confinement by the Emperor for your own safety.
Fate intercedes just as you begin to come back to your senses and the Emperor has a vision in which he sends you to Morrowind. Normally, being close to the Emperor he would have provided greatly for your travel and returned all of your belongings to you, however it is of necessity in accordance with your mission that you arrive under the radar. Thus you are sent as a normal prisoner on a dank boat, where you arrive on Vvardenfell to begin the path of the Nerevarine.
Upon defeating Dagoth Ur, Hircine, and the god Almalexia, "fate" intercedes again. Azura and her fellow Daedric conspirators, whom only needed you as a pawn to rid Morrowind of the Tribunal and take out the Red Tower (and not wanting you as a hindrance to Morrowind returning to direct worship of the Daedra), succeed in stripping you of your power and manipulating Helseth to have you sent back to the Imperial City prison. Rumors spread that you have gone to Akavir and you are helpless to convince anybody of your true identity.
Some years pass and by luck the Emperor runs through your cell as he makes his escape. The Emperor knows you but doesn't recognize you fully, afterall its been fifteen years since he's last seen you; you've changed much, he's gotten older and he still feels the ill effects of being imprisoned in Oblivion. With his mind being further blurred by the heat of the moment he can only surmise that you're from his dreams. Thus you begin the events of Oblivion.
You are also now immortal following your bout with Corprus, so even if you're a human character you won't ever have to worry about getting any older, meaning you can continue your cyclical role of saving the day only to fall into obscurity indefinitely.