It's a commonly held sentiment that The Elder Scrolls' lore has gradually become less esoteric with every subsequent instalment. I don't think this is necessarily true, but there's no doubt the strange land of Vvardenfell from The Elder Scrolls 3: Morrowind is difficult to match in how weird everything is.
Much of the more abstruse lore comes from Michael Kirkbride, a former concept artist and writer at Bethesda, known for writing the Pocket Guide to the Empire and various in-game books. Kirkbride continued to actively post about The Elder Scrolls' lore after departing Bethesda, and despite his posts not being canon, many Elder Scrolls lore enthusiasts still use his words as a reference point for contentious and complex lore concepts.
Kirkbride is responsible for writing the in-game series of books, the Song of Pelinal. These volumes detail the life of Pelinal Whitestrake, a key character in Oblivion's Knights of the Nine expansion. Pelinal is the ghost you meet in the sky above the White Gold Tower, for those who have forgotten.
A recent post on Reddit by SightlessProtector uses Pelinal Whitestrake as an example of how Oblivion's lore can also get quite weird, even if Morrowind is best...