My evidence is that you didn't see him die in Oblivion. He merely became the Avatar of Akatosh and cast Mehrunes Dagon back into Oblivion. He remained after Dagon was gone, disproving the opinion that they both went to Oblivion. He turned to stone, perhaps waiting until he was needed again. Also the Avatar of Akatosh is a dragon and as the trailer hints, dragons have returned. Also, Martin said goodbye to the player, so for this opinion to be correct, Skyrim must be set a few decades after Oblivion or the Champion of Cyrodiil (player) is dead. However, it is more likely he stayed in the Shivering Isles as he became the new Sheogorath. Martin could have known this so he said goodbye.
In the trailer, it is said that "no one wanted to believe they even existed" so there is more than one dragon. The trailer anolysishttp://www.1up.com/do/blogEntry?bId=9066169 tells of another dragon, Tosh Raka of Akavir. Perhaps the Akaviri are invading...again (Skyrim is where they would land first, as they are north of Tamriel) and they are lead by Tosh Raka and the Avatar of Akatosh is needed to battle it. So we might, once again, take on a supporting role to Martin Septim...
What do you guys think?
Please post why you chose who you did.