First of all I'm sorry if this has been already answered somewhere, but I did not found anything useful for what I'm interested into in other topics.

Which versions of the games are these one? I want to play the games with the official patches and add-ons (like the 1.06 patch for Arena, and the various unofficial patches and fixes for Daggerfall), are they already included in the GOG version of the games or do I need to install them later?

Daggerfall is latest official version. So it still can use [url=http://www.uesp.net/wiki/Daggerfall:DFQFIX]quest patching[/url].

Be aware that there are 4 !different! downloads on this page, you basically need them all:
1. Fixed Quests.
2. Questpak (it IS different from one above).
3. XTraQuest Patch.
4. DFQFIX.
This will also ensure you have CompUSA quests.

Other patches change the original elements of the game and don't fix anything (just fanmade mods), so I wouldn't advice using those.

Arena has version 1.07, which is the CD version with additional dubbed voice acting scenes. I made some investigation and I think they gave us the best and newest official version there is :-)