http://www.imperial-library.info/content/oblivion-hallgerds-tale
"That was before the First Era," said Garaz. "It's probably mostly myth. But there are all sorts of great warriors of the modern eras. The Camoran Usurper? The unknown hero who brought together the Staff of Chaos and defeated Jagar Tharn?"
"We can't declare an unknown champion as the greatest warrior. What about Nandor Beraid, the Empress Katariah's champion?" suggested Xiomara. "They said he could use any weapon ever invented."
Clearly the First Hero- the Player from the first Elder Scrolls game Arena is mentioned in this book. EDIT: To clarify: The Eternal Champion.
This stands to further prove that what the Player does which is part of the main quest in-game (regardless of wether you do it or not) is canon to the Elder Scrolls lore.
Some have argued that Heroes activities are subjective to each player and thus cannot be recorded as "lore". However, I beg to disagree- The Main Quest is the central story of each game- and is completed no matter what you do- that is not subjective. In that, Past heroes could be seen for their actions in future games, such as Skyrim.
Who knows- we may even encounter the Champion of Cyrodiil (Oblivion's Hero) in his new form- The Madgod of the Shivering Isles.