I think there are several traits about Morrowind that (in my opinion) make it the best one. First of all the setting is so different to the standard medieval fantasy world. The combination of Roman, Sumerian/Middleastern and Mushroom architecture is pretty weird, and then you see a Dwemer Ruin, or a Deadric Shrine. Or Vivec.
The next trait that Morrowind has over Skyrim and Oblivion is the factions. In Oblivion in particular there were few factions, and they were mostly irrelevant and disconnected with each other. The Fighters Guild and Blackwoods company were relevant only to each other, for example. Same with the Mages Guild and Manimarco. In the end it was just the Empire vs. the Mythic Dawn and the rest was irrelevant. Skyrim is better, with the Thalmor and Imperial Nord civil war influencing the plot. But in Morrowind a good amount of time in the Great Houses is spent fighting each other. The Thieves Guild and Cammona Tong interact with the Fighters Guild, and it's the Imperial Legion who discover Ilunibi. It just seems far more interconnected. It also shows us more of the internal politics and organisation which makes the world seem more alive.
Add to the above the 'greyer' morality in Morrowind. In Oblivion and Skyrim the bad guys are obviously evil, and not just for the main quest. However the Great House conflict has good and bad points on both sides. Are House Hlaalu corrupt and greedy, or are they innovators who want bring Morrowind into the modern era? The Ashlanders are xenophobic jerks, but they are victims of persecution and resent domination by foreign powers and the authoritarian temple. That foreign power is the Empire, a bastion of prosperity and good leadership and the Temple is concerned with a very dangerous enemy. In turn that enemy, Dagoth Ur, can actually be quite sympathetic and tragic, depending on who you believe. This allows the player to decide their own 'true' version of events.
I could write a full essay on this...