I read the novels a while before Skyrim was released, and I've been wondering ever since.

So far I've not found anything in Skyrim acknowledging the occurrences in the novels, which would be quite strange since it was not a particularly subtle matter.

I might just have searched in the wrong places, but I've also found nothing about (minor spoiler) Attrebus Mede (Edit: one of the main characters in the story), son of Titus Mede I (Titus Mede II being emperor in Skyrim).

The city of Umbra is mentioned in Skyrim.

Morrowind has been devastated and the Red Mountain erupted, forcing the Dunmer to flee.

Can't remember what else happened in those books, but I think those two things point to the books being canon.

This also means werebears are not myth, so why haven't we seen them yet?

Yes, they are. A dev confirmed it (I don't know who it was, I just remember it was said).

Here's a list of references to IC and LoS in Skyrim:
http://www.uesp.net/wiki/Skyrim:Elder_Scrolls_Historical_References#The_Infernal_City_and_Lord_of_Souls
I'm sure you encountered some of them, you just didn't realize it. Remember the Dunmer in Windhelm? The book On the Great Collapse? The monument to refugees from Morrowind? Yes, the Red Year was described in novels

Thanks a lot for the quick replies mates! That proves the novels are canon alright.

I've come across some of these points before yes, but I somehow forgot the "Red Year" was an event in the novels and the dots remained unconnected

Both the Thalmor of the Fourth Era, and the Penitus Oculatus were introduced in the novels, and the political state of Tamriel in the Fourth Era (except for Hammerfell seceding, and Skyrim's civil) was established then.

IIRC, the woman at the Shrine of Azura mentions that the shrine was built by fleeing Dunmer after the destruction of Morrowind.

Why do you think the Grey Quarter's there?