What happened in the 200 years between Oblivion and Skyrim?
Solution 1:
This is a quick answer BUT in the Dragonsreach there is a book in the same room as the enchanting table that explains all events of Oblivion and briefly summarizes what happened in-between the games. Including that the Septim dynasty ended at the end of the main quest for oblivion and names the new dynasty that controls the empire.
Add On:
The third era ended and the fourth era begins when you and Martin Septim defeat/banish Mehrunes Dagon. Hit this site its a pretty good timeline for the 200 missing years including Hammerfells exit from the empire and Vvardenfell being destroyed.
http://www.uesp.net/wiki/Lore:Fourth_Era