I liked Morrowind for its diversity, uniqueness and adventures. Also, randomness. Kinda what Dwarf Fortress is famous for.
You just never know when you're gonna stumble upon a great piece of armor or weapon. Sure, you could follow the FAQs and get this or that piece, but it's just so much more awesome just running around and stumbling in a completely nondescript farmers house and finding Daedric greaves just standing there on the shelf. I don't even know what I was doing in that guys house, I was just randomly barging in for some ill-needed cash. Not too far into the game either.
Or finding a left glove of awesomeness in some random cave and then finding some other type of awesome glove in an unrelated dungeon in the different part of the world.
Also, making your own spells, taking off your armor and jumping to INSANE heights at later levels, and later after killing every damn high level boss monster around just strutting around towns like a boss.
Oblivion, while I was anxious to play it, didn't have much of that. It looked bland and generic by comparison, although it was pretty stylish at the same time. I enjoyed it too, sure, but not as much as Morrowind due to the fact that everywhere you went it looked like the last place you've been.
But I enjoyed the multitudes of sidequests and unique locales (I remember once going into a painting to kill some monster, dude what.)
I'm not that excited for Skyrim, since it looks meh.