I hope Bethesda makes the Dovahking canonically a tragic villian.
Traditionally, the Player Character of the previous game is referred to very vaguely, with only the absolutes mentioned, if at all. So don't hold your breath.
The Prisoner: I think this guy actually made it into Canon. Not sure though.
The Blades Agent: ...Sheogorath mentions King Lysandus's ghost and that was the last Daggerfall Reference I remember seeing.
Nerevarine: Oblivion and Dragonborn reference the Nerevarine as going to Akavir on an expedition, and that he was behind the defeat of Dagoth Ur.
The Champion of Cyrodil: It's is heavily insinuated that the Sheogorath you meet in Skyrim is the Champion of Cyrodil, now fully mantling and in the full swing of the Madgod. And cheese.