I don't really think the stories are connected that much. I dove into the Oblivion without ever touching the previous ones, and I didn't feel like I missed a beat. You can pick up Oblivion Game of the Year with all the DLC for probably less than $40 though, if you're interested.
I am definitely looking forward to Skyrim. I think what I'm most excited about is what Skyrim's new engine means for the Fallout series, since they both belong to Bethesda. Fallout really needs an upgrade in the graphics department and what we've seen of the game play in Skyrim has blown my mind.
My one concern is that Bethesda is very good at making it's games look prettier than they actually are and so far being pretty is all I know about Skyrim.
They've really revamped the way you have side quests. I'm not sure on the full details, but each player is definitely going to have a very unique experience, as the game will generate unique scenarios and side quests based on how you play the game, or something like that.
Skyrim is set two hundred years after the events of Oblivion, in the land of Skyrim. The province has erupted into civil war after the assassination of its king. Concurrently, the god Alduin, who takes the form of a massive dragon, has arisen to destroy the world. The player character is one of the last living Dovahkiin (Dragonborn), and must fend off Alduin and save Skyrim from destruction.
The story of oblivion was that the Daedric Prince Mehrunes Dagon begins his escape from his Daedric realm into the land of Cyrodil through gates to Oblivion. The main character has to close the gates and defeat Dagon in order to return peace to the land.
I am so excited for Skyrim, I will be dead to the world on 11/11/11. I love that they are doing the duel wielding for this one. Plus they got rid of the class system which I'm happy about. That was the one thing in Oblivion that I didn't like.
Have you seen the trailer for the movie Immortals? They totally ripped off the 11/11/11 thing. The Words in the movie title turn sideways to make the 11's and the * thingys look really similar to the ones in the Skyrim trailer.
Big hope for this game is that they dramatically expand the voice casting. I know everyone has complained about this at some point but there were maybe seven voice actors Oblivion and that drove me crazy at first but I played so much I got used to it.
One of my friends brought up the fact that backpedaling is supposedly a lot slower in Skyrim. This means that the back up and bow strategy won't work nearly as well anymore. What do marksmen think of this?
I only had one character in Oblivion (I'm gonna go back and make one for fun though to prepare for skyrim). Base skills were really eclectic. Blade, Heavy Armor, Armorer, Security, Destruction, and I forget. I also played the game like a cheating whore, because I realized I could make 100% invisible armor, and literally stroll through the entire game. Still had a lot of fun though :D