As a running joke from Morrowind, the character of M'Aiq the Liar makes a reappearance. M'Aiq, a mysterious Khajiit, is notorious for telling a multitude of lies about the game. In Morrowind, M'Aiq did tell one truth. In Oblivion, however, this is not to be.
There are numerous references between all the Elderscroll games, including references forwards (Morrowind has books and characters who talk about Oblivion, etc). In addition, The Imperial Arena is based on the original concept of Elder Scrolls: Arena complete with posters based on the box art from the game. There are also several characters and items that reoccur between the games. For instance the blade Umbra makes an appearance in both Morrowind and Oblivion possessing two different characters.
In the Shivering Isles, there is a point at which you come across a stone platform on a mountain. There is freshly killed body known as "Sheogorath's Punished". If you search the body you will find a "Death Decree" labeled for one of the games developers. The body even bears his resemblance.
The Collector's Edition (which includes Pocket Guide to the Empire, "Making of Oblivion" Documentary, and a Septim Gold Coin for a retail cost $10 more than the non-collector's edition) is the best selling Collector's/Limited Edition of any game ever.
Hero of Kvatch was the playable character in Elder Scrolls 4: Oblivion, in Elder Scrolls 5: Skyrim he is a Daedric God, which was the first time between the playable character from Elder Scrolls 4 and the playable character from Elder Scrolls 5 (The Dragonborn) have met face to face. If you do the Daedric quest "The Mind of Mandness" the Daedric prince is Sheogorath which was "The Hero of Kvatch".
The Gray Fox, voiced by Wes Johnson, frequently uses the exclamation "Capital!" when he is pleased with a task the player completes for him. This may be a homage to Wes Johnson's job as the arena announcer of the NHL's Washington Capitals. Johnson is also the voice of the Imperial City Arena announcer as well. Bethesda Game Studios bases out of Bethesda, Maryland, for which the Washington Capitals is considered their home team.