Should I play the other Elder Scroll games

[KagePrototype]

before grabbing Oblivion?

 

[Dalamari]

http://til.gamingsource.net/obbooks/

If you have any questions on lore, consult that, it has every book in the entire elder scrolls series, plus the easter eggs and quests

 

[xombine]

No you don't have to. You'll be just fine starting off with Oblivion and be able to pick up on the story which really has nothing to do with Morrowind, Daggerfall, or Arena.