My opinions on the previous Elder Scrolls game are as follows:
Arena: A fun little diversion, but not as engaging as most of the others. Entire continent is explorable, but it's lacking in detail. Best to stick to fast traveling between dungeons. Game is free to download, so give it a try (you'll need a DOS emulator like DOSBox to run it):
http://www.elderscrolls.com/arena/
Daggerfall: Very enjoyable once you've gotten past its many quirks. Another huge landmass (twice the size of Great Britain, in fact), but rather sparse in detail. Again, fast travel is strongly recommended...unless you want to spend literally days traversing between locations. Contains the most mature content of the series, with (pixelated) nudity cropping up from time to time and a book with a story that contains a graphic rape scene (fortunately you don't have to read it if you don't want to). Game is very buggy even by Bethesda standards, so the axiom "save early, save often" applies. Procedurally generated dungeons and side quests means potentially unlimited play time. Also free, so give it a go:
http://theelderscrolls.wiwiland.net/?title=Daggerfall_:_DaggerfallSetup_EN
Morrowind: One of my favorites. First game in the series to have an overworld worth exploring. Landscape is wonderfully alien, with truly imaginative scenery and creatures. Has clunky combat mechanics though (essentially rolls a virtual dice every swing against your skill with the weapon to see if you hit or not). Also has a huge collection of excellent mods to choose from if you're playing the PC version.
Oblivion: A resounding "meh." Landmass and game atmosphere feel very generic and lacks that Elder Scrolls "feel." NPCs are big "uncanny valley" candidates with their creepy stares. Level scaling robs you of any sense of progression or accomplishment as well as not making much sense lore-wise (why are common bandits wearing ebony/daedric armor?).
In short, I'd wholeheartedly recommend giving Morrowind and Daggerfall a try. Arena's worth looking into as well just to see how much the series has changed over time.