I have played Morrowind, Oblivion, and Skyrim and I am looking to play Arena and Daggerfall but I am a little wary because I have heard they are very difficult. I did not have very many problems with Morrowind once I read a few build guides, and I have played Fallout 1 & 2 and not had too many problems.
I am just not sure I want to try playing them if they are too difficult for me to enjoy them.
Arena is quite demanding
My suggestion is to play Daggerfall first, with the modern engine called Daggerfall Unity
If you find yourself having fun, then giving Arena a try would not be so bad idea.