Morrowind has the best roleplaying elements of the series, and Oblivion has possibly the best quests of the series (with the Dark Brotherhood and Shivering Isles quests being a joy to play through), but everything else is firmly in Skyrim's court, and has been improved upon greatly over the previous two games.
You don't need to have play the others story wise, but I recommend picking up both game of the year editions of Oblivion and Morrowind (you can probably pick them up both rather cheap on the PC, but the original Xbox version of Morrowind GOTY goes for a pricey penny, as it's rather rare) once you have played and enjoyed Skyrim, as they are both great games in their own right, and they need to be experienced.
You could also play the original two (Daggerfall and Arena) on dosbox legally for free on the Elder Scrolls website, if you are inclined to.
In case you don't know, the game of the year edition of both games are expanded editions of the game with additional content. The game of the year edition of Oblivion comes with Knights of the Nine, and Shivering Isles (which is very fucking good), and the Morrowind game of the year comes with Bloodmoon (were you can play as a werewolf), and Tribunal.
Also, if you do take my advice and get Morrowind, beware of the fact that there is no convenient fast travel (only fast travel to cities), and zero hand holding. You are literally thrown in the middle of nowhere, and told to find your own way around. Yeah it's punishing, but that what makes it so compelling.