All mentions of later titles do not include spinoff titles (redguard and ESO in particular, the former has a lot of lore from Daggerfall that was ditched later on (which is why it was so good, lorewise), the latter has basically every lorebook in the series in it).

Lorebooks in daggerfall that did not appear in subsequent games and whose lore likewise was not referenced in later games (except redguard in a few cases):
http://en.uesp.net/wiki/Lore:Divad_the_Singer
http://en.uesp.net/wiki/Lore:The_Ebon_Arm
http://en.uesp.net/wiki/Lore:Etiquette_With_Rulers (ha)
http://en.uesp.net/wiki/Lore:The_Faerie
http://en.uesp.net/wiki/Lore:Fav%27te%27s_War_Of_Betony
http://en.uesp.net/wiki/Lore:Newgate%27s_War_Of_Betony
http://en.uesp.net/wiki/Lore:The_First_Scroll_of_Baan_Dar
http://en.uesp.net/wiki/Lore:From_The_Memory_Stone_of_Makela_Leki
http://en.uesp.net/wiki/Lore:Ghraewaj
http://en.uesp.net/wiki/Lore:A_History_of_Daggerfall
http://en.uesp.net/wiki/Lore:Holidays_of_the_Iliac_Bay
http://en.uesp.net/wiki/Lore:Ius,_Animal_God
http://en.uesp.net/wiki/Lore:King_Edward,_Part_I
http://en.uesp.net/wiki/Lore:The_Legend_of_Lover%27s_Lament
http://en.uesp.net/wiki/Lore:Oelander%27s_Hammer (this one's admittedly a bit shit, but it's just about an artifact)
http://en.uesp.net/wiki/Lore:Redguards,_Their_History_and_Their_Heroes
http://en.uesp.net/wiki/Lore:The_Sage
http://en.uesp.net/wiki/Lore:The_Story_of_Lyrisius
http://en.uesp.net/wiki/Lore:A_Scholar%27s_Guide_to_Nymphs


Lorebooks in daggerfall that did not appear in subsequent games but founded concepts that appear again later (often with little explanation):
http://en.uesp.net/wiki/Lore:The_Alik%27r
http://en.uesp.net/wiki/Lore:Ark%27ay,_the_God_of_Birth_and_Death
http://en.uesp.net/wiki/Lore:The_Asylum_Ball
http://en.uesp.net/wiki/Lore:Broken_Diamonds
http://en.uesp.net/wiki/Lore:Confessions_Of_A_Thief
http://en.uesp.net/wiki/Lore:The_Fall_of_the_Usurper
http://en.uesp.net/wiki/Lore:The_Light_and_the_Dark (literally the foundation of almost all later lore)
http://en.uesp.net/wiki/Lore:Mara%27s_Tear
http://en.uesp.net/wiki/Lore:Notes_For_Redguard_History
http://en.uesp.net/wiki/Lore:Of_Jephre
http://en.uesp.net/wiki/Lore:On_Lycanthropy
http://en.uesp.net/wiki/Lore:Vampires_of_the_Iliac_Bay,_Chapter_I
http://en.uesp.net/wiki/Lore:Wayrest,_Jewel_Of_The_Bay

Lorebooks in daggerfall that appear in later installments:
http://en.uesp.net/wiki/Lore:Biography_of_Queen_Barenziah,_Vol_1
http://en.uesp.net/wiki/Lore:Brief_History_of_the_Empire,_Part_1
http://en.uesp.net/wiki/Lore:The_Brothers_of_Darkness
http://en.uesp.net/wiki/Lore:Fragment:_On_Artaeum
http://en.uesp.net/wiki/Lore:Galerion_the_Mystic
http://en.uesp.net/wiki/Lore:Invocation_of_Azura_(Daggerfall)
http://en.uesp.net/wiki/Lore:The_Madness_of_Pelagius
http://en.uesp.net/wiki/Lore:Mysticism_-_Unfathomable_Voyage
http://en.uesp.net/wiki/Lore:The_Old_Ways_(Daggerfall)
http://en.uesp.net/wiki/Lore:On_Oblivion
http://en.uesp.net/wiki/Lore:The_Origin_of_the_Mages_Guild
http://en.uesp.net/wiki/Lore:An_Overview_of_Gods_And_Worship
http://en.uesp.net/wiki/Lore:The_Pig_Children
http://en.uesp.net/wiki/Lore:The_Real_Barenziah,_Part_I
http://en.uesp.net/wiki/Lore:Special_Flora_of_Tamriel_(Daggerfall)
http://en.uesp.net/wiki/Lore:Wabbajack_(book)
http://en.uesp.net/wiki/Lore:The_Wild_Elves

Fluff books (those that serve to make the setting more believable rather than infodumping in any way except the most oblique, mostly jokes and plays) in daggerfall:
http://en.uesp.net/wiki/Lore:The_Arrowshot_Woman
http://en.uesp.net/wiki/Lore:Banker%27s_Bet
http://en.uesp.net/wiki/Lore:A_Dubious_Tale_of_the_Crystal_Tower
http://en.uesp.net/wiki/Lore:The_Epic_of_the_Grey_Falcon
http://en.uesp.net/wiki/Lore:Fools%27_Ebony,_Part_the_Oneth
http://en.uesp.net/wiki/Lore:The_Healer%27s_Tale
http://en.uesp.net/wiki/Lore:Jokes
http://en.uesp.net/wiki/Lore:Legal_Basics
http://en.uesp.net/wiki/Lore:Rude_Song
http://en.uesp.net/wiki/Lore:A_Tale_of_Kieran

Concepts in daggerfall, in full or sufficient part (not counting things like Satakal as >>53082711 mentions, which are based on terminology from Daggerfall but not revealed in that game at all), almost definitely an incomplete list because I'm just naming things off the top of my head:
(A)Numidium
Mantling
Anu and Padomay/Anuiel and Sithis
Conflict of the Imperial Cult with fringe cults
the fundamental workings of magic
most of the cross-cultural pantheon
Almost anything from Redguard/Yokudan history (easily some of the best shit in the entire corpus of TES lore, main reason Redguard was half as good as it was)
Languages (something that is rather uncomfortably completely ignored in subsequent entries, even despite the setting actually having multiple original internally consistent languages introduced later; Everything that can talk besides Umaril, the Xivilai (which iirc speak daedric sometimes) and a bunch of dead Ayleids and Dwarves just uses the pan-universal lingua franca of English natively, things that don't speak English do not speak)