My Khajiit Assassin? Caught mid-assassination on a noble, then given the death sentence.
My Altmer Fire Mage? He stole some sweet rolls from the general store....LOLNAAAHH! He burned down a small village, including an orphanage. :flamethrower:
Understandably, it's 200 years after Oblivion, so either they eventually became immortal after the events of Shivering Isles, or my Khajiit Assassin became a vampire in his lust for power, or my Fire Mage created some spell to stretch his life.
But like my transition from Morrowind to Oblivion, Skyrim will just have my characters as new faces, descendants of the prequel character. Both deciding upon their fighting art and lifestyle, only to make a mistake during their rise to power and becoming imprisoned because of it.