Nah. The Elder Scrolls games aren't really sequels to eachother. They take place in the same world within the same empire (Tamriel). The first 4 games occur in the reign of the same emperor but across a span of years. Skyrim takes place I believe 200 years past the end of Oblivion. I haven't even run across anyone making mention of the events of Oblivion. It's a completely stand alone story. And in truth, so far at least, the gameplay and story has been better in Skyrim than any of the previous Elder Scrolls games, even adjusting for the limitations of their time.
I have, several times. It's part of the prophecy of the Dragonborn.
