Oblivion was my first TES as well. That trailer+music gives me the goosebumps too, makes me want to replay Skyrim so badly, but I gotta wait for the enhanced edition to come out tomorrow first! I wish it was like a month away, so I could fit an Oblivion playthrough in there first lol
First exposure to TES, I think, was a Bethesda development feature. I don't remember much of it, but one thing I do recall was a bit of elven dungeon gameplay where the player tricked a skeleton into being impaled by a moving wall of spikes.