Morrowind really was the best sandbox setting ever, dont want to be the hero ? level up lockpicking until you can break into the tribunal temple and go one on one with Vivec, then get owned because while you were picking locks you forgot to level up anything else like COMBAT for instance...
In fact i'd say you pretty much HAD to play it as a sandbox game, there were no waypoints or recalls, you had marsh stalkers who only went to a few (sometimes seemingly random) cities, and scrolls to take you to either a church or a temple, everywhere else you had to hoof it, and the signposts in that game were worse than they are here in France.
You had to end up just wandering into the mountains sooner or later, where usually you got raped by clannfears or contracted some hideous form of plague that crippled your character to the point where you had to reload, say "screw the mountains" and go back to stealing shit from the House Telvanni vaults.