No, they are not one continuous story, per se. They are all set in the same fantasy world, just at different frames in time, and they all have self-contained stories. That doesn't stop later games in the series referencing events from earlier games, but you should be able to jump in and not be too confused. Mainly, the whole point of the games are exploration, and Bethesda usually plays to that strength. Sure, they have main quests and side quests, but they all serve to help you explore more of the world. If you like exploring, you will probably like the games, since that really is the main point.