If this was between Morrowind and Oblivion, I would say that Morrowind is definitely the better game. Both games are great for the same reason, having a large open world that you can explore however you want with whatever kind of character you want, but Morrowind is so much better at this, for reasons stated above. Granted, Oblivion did improve on some things from Morrowind (combat) but it never improved anything beyond the level of adequate, and ended up bringing in it's fair share of major flaws (level scaling).
Now, between Morrowind and Skyrim, I'm not so sure. Skyrim fixes most of the major flaws that Oblivion, and even Morrowind, had (a not-broken leveling system). The combat and stealth also are enjoyable, rather than tolerable.
Aside from the gameplay, there are two more major differences between Morrowind and Skyrim. The first is that Skyrim goes out of its way to make sure you're not frusterated, while Morrowind throws into the world and says "figure it out on your own!" This causes Skyrim to be far more accessible, but Morrowind far more rewarding to actually figure stuff out.
The second is that Morrowind has far more stuff to do than Skyrim. Morrowind has far more dungeons, factions, quests, and things to do. However, it could be argued that everything is higher quality in Skyrim, even though there's less of it.
Ultimately, I prefer Morrowind simply because I can stick with a character for longer without getting bored.