By the way, @ Obed:
If you're really interested in getting into more TES back story, I think Morrowind is probably a better retro choice than Oblivion. Oblivion was certainly a good game in its own right, and I spent more hours on it than I'd care to share, but Skyrim is in many ways a more refined Oblivion. Euro-centric setting, lots of standard medieval/RPG stereotypes, similar underlying systems, etc. Morrowind is a very different game. An alien and different environment, and yet still very much in keeping with TES lore. It gives a much stronger sense of being a stranger in a strange land, whereas Oblivion is pretty generic and reptitive.
The knock on Morrowind is obviously the graphics are fairly dated (though they were quite spectacular for 2002) and the fact that combat works on a "die roll" system where hitting something doesn't mean you actually hit it.
Here's a decent list comparing Morrowind and Oblivion - works well enough since Oblivion and Skyrim are more similar than they are different:http://www.uesp.net/wiki/Morrowind:Morrowind_for_Oblivion_Players
There's no reason not to give Oblivion a shot if you're interested, especially if they're doing the crazy 6 or 8 dollar GOTY + expansion + DLC sales on Steam, but generally speaking I think Morrowind makes for a better "getting to know the history of the franchise" game.
Though in fairness the expansion for Oblivion (Shivering Isles) definitely reintroduces some of the alien/strangeness that Morrowind did so well. I'm very hopeful that we'll get some DLC that brings that kind of flavor to Skyrim.