Look inside the museum of Dawnstar to find a display case that has a yellowing piece of paper with the symbol for Oblivion. Pick the lock and use a spell for a couple seconds on the paper to turn it into a bucket.
Once you join up with the Dark Brotherhood, you will eventually encounter a fellow named Cicero. After he gets settled into the sanctuary you can enter his room. There you will find a series of journals, and inside one of the journals Cicero talks of once upon a time killing the "Arena Champion" by posing as a crazed fan and leading him to the woods to kill him, a possible reference to "The Adoring Fan" of TES: Oblivion.