I put a lot of hours into Skyrim. We're talking 200+ hours. Now, I think it's a very good game in many respects, but it also has serious shortcomings.
It has a lot of content, but much of that content is linear; even most of the story quests end up being follow-the-marker fetch quests. It has a lot of caves and dungeons, but although they're all unique, a lot of them aren't very well designed or interesting, most are incredibly linear in that, for all they twist and turn, there's one way through them (often with a locked gate or drop from a high ledge on the way out to act as a valve) so there's little exploring. They also start to look very samey after a while.
The most damning issue for me, though, is that I never really felt part of that world. Certainly, I could join factions and do their quests, but it didn't seem to affect how the rest of the world treated me apart from some colour commentary from NPCs. The faction questlines were also considerably shorter than the previous two Elder Scrolls titles. The radiant quests just added to this - after the first few times, I found "go there and kill this giant" or "go there and steal this thing" felt like chores and increased my alienation from the game world.
After playing a lot of Skyrim over Christmas, I went back and played through the main quest line of Morrowind, and the difference - both in terms of quality of dungeon design and in terms of immersion in the world - was staggering. Morrowind looks and plays like a 10-year-old game, but if you mod the graphics to bring it more up-to-date visually, it's a better game in every way than Skyrim can ever hope to be, because your choices matter. People care about who you join and what you do, and treat you differently because of it. The NPCs also have more personality, even without voice acting. I was thrilled to encounter some of them again.
Skyrim's real high point is exploration - there's nothing stopping you just going out there and exploring, and there's a lot to see. The scaled level enemies are much better implemented than in Oblivion, too; no bandits in glass armour or wandering hordes of minotaurs here.
All in all, they did a great job at creating an open world; they just did a crappy job at making your PC feel part of it.