My history is very rusty, but to my knowledge:
1st: Saint Alessia's empire.
2nd: Tiber/Hjalti/Talos's empire.
The Imperial Library has very condensed timelines on it that I'm too lazy to read.
I'm pretty sure the first empire of Skyrim preceded the Alessian empire by at least 100 years, unless we're just talking about the Cyrodiilic empires.
On that note, we are currently in the Mede empire, but for the most part, it is similar to the Septim dynasty.