#1 - Arena
#2 - Daggerfall
#3 - Morrowind
#4 - Oblivion
#5 - Skyrim
These are the main games sequence starting with Arena which included all areas. They're not linked but do reference each other like the events of Martin Septim are mentioned in Skyrim for instance also with the downfall of the blades, where as in Oblivion you are apart of the blades etc.
They're 2 books written just after the oblivion crisis, however Skyrim doesn't mention them or include any acknowledgement of what happens in the books which was a shame as they're great.