I just picked up the Elder Scrolls Anthology (all games and DLC) for $30 (great deal, though it was 1/2 that last black friday).
1) Is there any reason to play III or IV before Skyrim? Or are the references mild enough to play the best looking one first? (skyrim)
2) I opted for PC over 360 for the mods. Would you recommend skipping all mods on the first playthrough? Or just implementing a few to limit the bugs?
3) Are there really people that help Sven, who insults and lives with his mother, attempts lies to win his desired mistress and plays a freakin' lute?
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1. No, you can play Skyrim without having played any of the previous Elder Scrolls games. Sometimes you'll run across a cool little nod to previous games when you're playing, but it's not enough that you absolutely must go back and play them. I picked up the Anthology for $30 myself at Wal-Mart, haven't opened it as I already had 3-5 (But not all the DLC). I've never played 1 or 2, so not input on those. Personally I think Oblivion has a better main story than Skyrim in many ways. Dragons are pretty cool and all, but they lose their luster after the first few fights. As far as the other big quest lines between the two games, each game does well in certain areas. The Thieves Guild is cooler imo in Oblivion. Mages' Guild (College of Winterhold) certainly blows in Skyrim in comparison to Oblivion's Mages' Guild, it's no contest. Dark Brotherhood is a tossup, Skryim's may be slightly better. I don't remember anything about the Fighter's Guild in Oblivion, so I'm going to go ahead and say the Companions were cooler in Skyrim.
2. I personally prefer playing through at least once without mods, but it's your discretion on how you want to play it. It's kind of nice to get a base, vanilla feeling for the game first, then you can mod the hell out of it and decide which mods make the game better for you in comparison or which aren't as fun. I found some of the mods that add spells to the game really added flavor to my spell casting only play throughs, but I found some mods that added new weapons to the game made bows more overpowered than they previously were and that took away from the game for me if I abused them.
3. That's the beauty of the game, it gives you options. If you're just playing through to play the game, most people probably screw Sven over because he's a douche. However, if you're trying to play a certain kind of character, say a Nord who favors the Stormcloaks, you probably help Sven over the elf because...well....elves are evil! You run into a lot of scenarios like that based on which side you choose: Imperials or Stormcloaks. Depending on your point of view, one side is right and the other is wrong, despite the fact that both sides are right in their own ways.
As far as what mods to put in your game, I typically go through the Nexus and search the Top 100. If it makes it into the Top 100, it's probably a decent mod and worth checking out (Depending on what you like and don't like). I like adding a lot of textures and meshes to the game to make it look even better. I rarely add anything that will break the game, like God-like weapons. Occasionally I'll add custom houses or NPC's/companions if they're done well (The Willow companion for Fallout NV is excellent). Mods that add animations to the game can be fun, and some can incorporate skills and abilities. For instance, there's a few hand to hand mods out there that add Karate and other fighting styles to Skyrim. I installed that mod and ran an Unarmed only character, a Khajiit, that practiced "Catrate" instead of Karate. I may have stolen the idea from this: