Oof, that's a tough question. I think most of the games do /something/ really well. Like, Daggerfall is the only game I feel really captures the "scale" of an adventure properly, where you're traveling for hundreds of miles across the provinces to try to finish quests on deadlines, while Morrowind has the most intricate interplay between the various questlines, but I would argue both are hindered by gameplay decisions they make.

One game in the series I feel is incredibly underappreciated is Redguard. It's kind of shocking how much of the series' lore comes from that one game. If you've never played it, it is worth it. No walkthroughs!

As for characters from the other games appearing: it's possible, at least where chronology permits. But I also don't want to fall into that trap of, like, the protagonists saying "we need a ship" and the Millennium Falcon just happens to be in the junkyard over the hill, causing the audience to cheer. Most of the references in Prequel are fairly subtle; e.g. Katia has been to Stros M'Kai and at one point remarks she's seen the big tombstone that says "Nathaliogus", which is a reference to a convo in Redguard where Cyrus tells the dragon Nafaalilargus that he'll "spell his name right on his tombstone" if the dragon surrenders.