I got into TES with Daggerfall, but of the whole series my favourite is Morrowind - by far.
Arena was a bit rough and ready, Daggerfall was good for it's day, but Morrowind was/is an exercise in true open-world freedom where your own actions can greatly alter the gameworld. Oblivion was far too nicey-nicey for my taste, and whilst the open-world freedom remained the whole cause/effect thing had been stripped back so that factions not longer fought each other (so one character could in theory command all the guilds at the same time) and quest related characters couldn't die so players could go on mass killing sprees without having to think of the consequences of their actions. More fun? Maybe. More immersive? Hell no.
Arena was a bit rough and ready, Daggerfall was good for it's day, but Morrowind was/is an exercise in true open-world freedom where your own actions can greatly alter the gameworld. Oblivion was far too nicey-nicey for my taste, and whilst the open-world freedom remained the whole cause/effect thing had been stripped back so that factions not longer fought each other (so one character could in theory command all the guilds at the same time) and quest related characters couldn't die so players could go on mass killing sprees without having to think of the consequences of their actions. More fun? Maybe. More immersive? Hell no.