Thanks to today's Steam deal, I picked up both The Elder Scrolls Morrowind and Oblivion with all of their DLC add-ons (Thanks, Steam!). I do have a question, though, before I jump right in: Is it better to go back and play the first games Arena and Daggerfall before moving into the current-gen sequels? I ask not only as a plot point, but also because I know that the later games allow you to use a character from one game to the next, and I was just wondering if, theoretically, you could start at the first game and use the same character through all four (soon, five) games.
tl;dr - Are there any benefits to starting at the beginning of the series rather than jumping in at the middle?