Um, what? All you know, and all anyone knows, at the beginning of Oblivion is that the Emperor got axed. The Emperor, voice acted by Patrick Stewart, whom you met and talked to as to give weight and meaning to the world shattering event that by itself would have meant nothing to any new player. You learn about Mehrunes Dagon way later on, and the game eases you into that too. You're not just dropped into some random inn, given a quest and asked to read on some random book about some God you know nothing about, because that would suck.