Elder Scrolls History
These games have an incredibly rich backstory and history. They all fit together excellently. I loved TES:III Morrowind, and have just started playing TES:IV Oblivion. Arena was the first game, then Daggerfall and it's expansion. After that came Redguard, which was not part of the Elder Scrolls series, per sei. It was billed as an Elder Scrolls Adventure game, and is not one of the numbered titles, however it takes place in the world of Tamriel, and is therefore part of the history of the game world. Morrowind was the third game, the first to limit itself to just one of the seven provinces of Tamriel. And Oblivion is the fourth and latest game, also limited to just one province (the capitol province of Cyrodil).
And for those who want to know what it's like:
First or third-person hack & slash RPG. All your basic RPG classes and then some, rich story, HUGE world with a seemingly unending amount of quests. An epic main quest that you can play straight through, or play the game for months and never even touch.