Well, I've been playing The Elder Scrolls for about 4 years now and I must say, Bethesda is one of those companies who actually makes good sequels. Although he takes his time with them.
I've played all the 4 TES episodes and although Arena, Daggerfall and Morrowind were good fun I must say that Oblivion beats them all.
Arena, the first and hence there ain't much there. It's got the base down, but that's about it. There's not much there, compared to the sequels. Arena has the attributes, but no skills. The combat is just waving your weapon at your enemy and hoping for some good hit chance, but I like that you can control how you wave your weapon, kinda makes it feel more real, well maybe. The magic system is there and somewhat decent even. Then again, it's an old game, so what can you really expect. Also night time and darkness has its spookyness, you'll never know what will pop out and eat you for a midnight snack.
Daggerfall also known as Buggerfall, due to it's history of bugs, is worth being called a sequel, the combat has improved, but kept the Arena style and a skill system has been added. The graphics engine has evolved a bit aswell, but still staying at a DOS game level.
Now the combat, it's still that waving your weapon for hope of a hit, but this time, it seems that your hit chance is quite high and you are actually pushing your opponent away from you with each hit. Although that said, they can do the same to you, so it may have a nice backfire effect where you'll just get raped.
Morrowind, a great advancement compared to Daggerfall. Including some actual voiced dialogs, few but they're still there and a beautiful 3D environement, well actually not so much because it's on a volcanic island so it's pretty much dust, ashes, few grass spots, a bit of swamp, a frozen island(with the Bloodmoon expansion) and more dust.
Now the combat, sadly, is still with hit-chance, making combat funny, but also a bit frustrating. Especially since every hit drains your fatigue and the lower your fatigue is, the lower is your chance to hit.
Also it kinda sucked to have a chance to block with your shield and I think that chance is interupted if you hit when it starts to block, making the shield almost useless.
Eventually when you're out of fatigue your enemies can knock you down, which just is a great formula for rape. In other words, pack a load of fatigue potions and just to be sure take some more. Now there's always the option of rolling a mage, now magic is a better choice than melee, with magic you won't have that hit detection nonsense, you fling a spell, if it hits, you'll do damage. Now yes, it drains magicka, but eh, that's what magicka potions are for, right?
And, if you're feeling especially rich you can find a spellcrafting vendor and make some OP spells.
One of the biggest problems in combat might occur when you decide to go for a spellsword. In morrowind you have a ready weapon and a ready spell button, so you have to switch between two modes to fling an axe and pop a heal which might end up with a face full of hurt.
One thing I loved about Morrowind, was the journal system, it stored all your quests and all your dialogs and no, it didn't store dialogs that repeated. So then you could just pop open the journal, and see info about a certain subject, a certain someone, or a quest. Seemed quite usefull. Morrowind is still one of the most popular TES game. It appears to be so because of it's huge amount of quests.
Oblivion, the fourth and currently the last of the TES.
I truely loved its more real, hit detection based combat system, so instead of waving your axe like a madman and hoping to chop your enemy, you can easily swing and smash a face(not actually smash the face, because there's no dismemberment or damaging) if you aim it right. Also now instead of a block chance you can manually block with a shield or a weapon. weapon blocks work good against other weapons, but a shield works great against weapons and arrows.
Ranged. As I mentioned before, the ranged combat in Oblivion has been made useful, in the previous episodes, it relied on hit-chance and turned out to be even more useless than melee. Now in Oblivion there's hope for archery yet. Just like melee, archery relies on hit-detection, so when they start to rain down arrows on you, every arrow that hits, will be visibly seen on you or the target and every hit hurts. the arrows stay on you for some time and after they disappear some may end up in your inventory. Not always all. Now when you shoot an arrow into a tree, for example if you miss your target or you are just practicing. You can go and retrieve it by just picking it up. If you find it. You can't retrieve them like that from corpses, but they may appear in the loot inventory.
Magic. The magic system has been greatly improved. Now instead of being forced to switch between stances, you can simply fling a fireball or heal while you are equipped with your shield and axe.
So I guess this concludes my quick over-view of The Elder Scroll series. Although they do seem to improve with every episode and I for example only count Oblivion a good episode I suggest trying them all and see what you'll like.