It goes Morrowind > Skyrim > Oblivion. The games became more "dumbed down" as the series went on.

Morrowind had the most beautiful world out of the 3. There were regular caves, daedric ruins, dwemer ruins, ancestral tombs, telvaani cities with wizards that don't use stairs, sixth house bases, ancient dunmer strongholds, a bar with strippers, and a city on water. I'm leaving out a lot (dwemer ruins submerged under water), but Morrowind had WAY more variety than the other games.

Morrowind also had more skills and weapons. What ever happened to medium armor? Or Spears? Shuriken? I know the way cities load as their own zone now wouldn't work with levitate, but levitating was damn awesome. How about being allowed to wear clothes underneath your armor and enchant them?

Main Quest? In Oblivion you were a pawn. In Skyrim you could yell really loud. In Morrowind you were a god reincarnated who started off taking orders from a secret agent with a drug problem.

More factions to join in Morrowind. It might have had "less" quests than the others (not 100% sure about that) but it always felt like there was way more to do.

I still go back and play Morrowind to this day. Oblivion and Skyrim i've beaten twice each and never touched again.