The Elder Scrolls series takes place on the planet of Nirn. And while you think that opens the door to a very sci-fi-ish story, the name of the planet is about as sci-fi as it gets. The Elder Scrolls is a fantasy series, set on the continent of Tamriel. Tamriel is composed of nine provinces, each of which is home to a different race of people (upon which we will elaborate below, but for now you can just marvel at them in the picture to the right). It is a world of magic and steel and mythical creatures, both familiar and new. Tamriel is a land which is so replete with history and lore that it confounds the mind, and it is in this realm, so rich in history, that Keeg's Quest sets its stage.
The following primer will attempt to introduce you to this realm in as abbreviated-yet-informative-and entertaining way possible. This document will likely be modified periodically with newer information. if you have any questions, for example if you're listening to Keeg's Quest and want to know more about a certain person, faction, race, or creature, please don't hesitate to ask! I will certainly add that information to this document to benefit your fellow listeners, and probably throw you a shout-out for asking.
To all of the loremongers out there. I wrote this stuff mostly off the top of my head, so if my recollection is in any way inaccurate, I humbly request that you inform me via email or Twitter of my glaring lore mistakes, for the betterment of all n00bs.
A Note on Religion
The continent of Tamriel is replete with a panoply of gods. TONS of them. But it all boils down to the Big Ones. The chief gods of the realm are the Nine Eight Divines. What just happened there? I think I'm being edited against my will. I was talking about the Nine Eight Divines. Oh, for crying out loud. OK. The Eight were a group of really top-notch gods. When Tiber Septim founded the Empire, he was elevated to godhood and counted among their number, given the name Talos (God of War). Thus The Eight became The Nine. Centuries later, when the Thalmor defeated the Empire, they demanded that Talos be stricken from the list of gods, so now everyone has to call them The Eight again or they are subject to interrogation, imprisonment, and execution (not necessarily in that order). But religion is everywhere to be found in Tamriel; many cultures worship the same gods by different names. And then there are the Aedra and Daedra, who are kind of second-string gods who directly interact with supplicants and offer artifacts (which usually are classified in the ass-kicking variety) to their chosen champions to use in their name.
The world of Nirn is populated by ten major sentient races, and a multitude of "lesser" races. For the purposes of this primer, only the major (playable) races will be covered. They fall into three categories: Humans, Elves, and "Other", but we'll just call the others "Beasts" because they kind of are.
The Imperial Legion
Remember how I said the Imperials were a lot like the Romans? There ya go. Same outfits and everything (you know, leather skirts, red highlights, brooms on their hats). The standing army of Tamriel, the Imperial Legion keeps the peace, executes protesters, and basically makes sure everything works smoothly, with a very regimented and "relentlessly superior to all of you lot" vibe.
The Thalmor remind me a lot of the SS from World War II. They're all trenchcoats and pointed questions, these guys. As the Iron Fist arm of the Aldmeri Dominion, the Thalmor uphold Elven interests throughout Tamriel. And at the top of the list of Elven interests is "Kill anyone who worships Talos". Talos being the ancient Nord who founded the Empire and was elevated to godhood by his followers. The Thalmor didn't appreciate that and actively disavow it. The Thalmor are scary, nosy, and powerful and are to be feared (and scorned in only the most hushed tones).
The Mages Guild/College of Winterhold
The Mages guild is the place to be if you want to learn about magic. The Mages guild is prevalent throughout Tamrel, with the notable exception of Skyrim. Most Nords distrust mages and their mystical pansy ways, so the Mages guild hasn't found a foothold here. Skyrim's analog to the mages guild can be found in the College of Winterhold, which is essentially Hogwarts if Hogwarts was situated on a cliff next to a razed town in the midst of a perpetual blizzard.
The Fighters Guild/Companions
The Fighters Guild is traditionally where a young man, woman, elf, cat, or lizard go to learn the art of ass-kicking (in the physical, non-magical sense). Ironically, the Fighters Guild has no place in Skyrim, but can be found pretty much everywhere else in Tamriel. Instead, Skyrim has its own version of the Fighters Guild, known as the Companions. Because as far as Nords go, the Fighters Guild don't do war right. For one thing, the Companions' headquarters is a mead hall, so if that doesn't serve as clarification enough, I dunno what will.
The Thieves Guild
You're probably seeing a pattern here for the Guilds. The Fighters Guild trains fighters, the Mages Guild trains mages... and the Thieves Guild follows the same basic paradigm (except for thieves). Unlike the others, however, the Thieves Guild does exist in Skyrim, but has fallen upon troubled times of late. They're just not up to "Leverage-echelon" snuff anymore. But these denizens of the shadows do everything from pickpocketing to racketeering to good-old fashioned grand larceny, for fun and profit.
The Dark Brotherhood
These guys are scary, as their name implies if you have even a whit of sense. The Dark Brotherhood are an order of assassins, who are lucratively compensated for ending the lives of folks who have pissed other folks off. It is something of an offshoot of the (legal and well-respected) Morag Tong of Morrowind, except the Dark Brotherhood are illegal and greatly feared. The Dark Brotherhood revere the unholy union of Sithis (the god of chaos and the void) and The Night Mother (Sithis' consort who slaughtered her own kids because she thought Sithis was hot). In short, the Dark Brotherhood is nothing more than a group of like-minded individuals, who are like-minded in that they all enjoy blood, death, and a general affinity for gloom.
If the Imperial Legion is like the Roman Legion, the Stormcloaks are like William Wallace's band from Braveheart, except for the fact that the Romans never actually had a beef with William and Friends. The Stormcloaks dig the color blue and draping animal carcassess over their bodies. They are in direct opposition to the Imperial Legion, whom they accuse of squelching the Nord Way of Life (drinking, fighting, worshipping Talos... that kinda thing). The Stormcloaks are led by the coincidentally-named Ulfric Stormcloak, Jarl of Windhelm, who seeks to rid Skyrim of the Empire and its Thalmor puppeteers for all time.
The Bard's College
Well, I don't know what to tell you, as I haven't actually played the Bard's College quest line yet. One assumes they go to Arts school (conveniently located in the cosmopolitan-yet-brooding city of Solitude) and then walk the land like Caine in Kung Fu, singing songs to folks who really don't want to listen. More on this later, to be sure.
Well, I guess that's about it.
God, there is so much more lore. So incredibly much. I wish I could tell you about all of it, but we're talking about like 18 years of canon history here, so this had to be a highly condensed primer. If you'd like to know more about this truly epic saga, I highly recommend picking up some of the games (conveniently listed below). They will dramatically improve your knowledge of the Elder Scrolls world, your enjoyment of Keeg's Quest, as well as your personal well-being. Ever just want to get away from the vicissitudes of meatspace? This is totally how you do it. Plus you get to kill stuff, which I find is a remarkable substitute for therapy.