I honestly haven't played Oblivion yet, but I have the feeling that I'd like Morrowind more. Even by looking at screenshots, I feel that Morrowind has a far larger value of atmosphere and feeling to it. Like the guy a few posts above me stated, exploring the world of Morrowind was thrilling and exciting. I remember my friend got the game, and I said "Oh sweet" and he copied it for me, I popped it in my computer, and I was hooked there all night. I felt as if the candle-light like lighting on the game was taking place in the room I was in. And the light violin music was very atmospheric. I remember exploring around at night, finding a small tribe of outlaws, and beating the pulp out of every single one of them, and then taking all their stuff. And then there was the noobish times, where I saw a guard in that Bonemold armour (I can't remember what exactly it was called), and I attacked one because I wanted his armour, and got the crap beaten out of me.

There's a lot to say about Morrowind. I'll always remember that game, though.