Yeah, true. The Dark Brotherhood quest in Oblivion where you have to kill some guys who think they are looking for a treasure (that doesn't actually exist) was especially awesome. After you kill one, you can pretty much convince the rest to kill each other.
Yeah, love the Dark Brotherhood and Thieves Guilds in Oblivion. Loved the robot search in Rivet City in Fallout 3, the Reilly's Rangers quest too.
Kiwi's getting the short end of the stick with release times again we should be able to play this right now.
They are all based on the same continent (just difference provinces at different times), and they are all connected through a lot of backstory...but you'd have to be an asshole to actually read all that crap. The games aren't known for their stories anyway.
Each one is independent of the others, but they take place in the same world, just hundreds of years apart. Going to get this once I get paid next, deffo going with a Nord first time round.
Their stories, no, but the lore, yes. Have you read any of the in game books? Fuck me dead there is a lot of shit to read. Doesn't really interest many but the diehards, though.
The only one I've read was the Lusty Argonian Maid http://elderscrolls.wikia.com/wiki/The_Lusty_Argonian_Maid