Been playing this all day, loving it so far, improves on Oblivion in so many ways. Still, there's so many things to do it's almost overwhelming.
Having played Oblivion and Morrowind before I can tell you that knowing certain events in the past are sorta important so you can fully understand some references the game makes, but the most important thing is context. I'd say it would be wise to just read a bit about some races and stuff, before playing, but if you don't it's cool anyway, not a major thing at all.
It's similar to fallout yeah ( the engine and quest structure is alike) but it's quite a diferent experience in the end, personally I'm a bigger fan of Fallout.
Nate is right about the mods, PC would really be the best. I've seen some mods for Oblivion that are better than any DLC being put out there by real producers, it's amazing shit.