I haven't yet, but I'm somehow tempted, even though I didn't like either Morrorwind or Oblivion. In theory, I should love the game: an RPG with an incredible amount of customization. In practice, I just haven't had any fun with the series.
In Morrowind I was completely lost. I walked out of the door from the starter area and then... yeah, no idea what to do next. The world was big and open, but I lacked the desire to explore it because there wasn't any sort of impetus other than it existing. I wandered into a cave and killed some vaguely human-shaped objects and made off with some loot but I couldn't help but think that I wasn't supposed to have been there yet because there was no context to what I was doing. It was just a cave of people and some boxes, with no explanation as to what the people were doing there and why they were storing the things they did. I think the furthest in I got was 45 minutes before I just threw in the towel in frustration at the lack of direction and context.
In Oblivion I felt less lost because there was a bit of imperative to the tasks (i.e. "Go here and do this because of that" rather than just, "Go that way"). But then I tried to do one of the sidequests that the series is so famous for, and found it to be just as pointless, and even offensive. Early in the game, there was a quest where I had to follow some guy to figure out why he was able to undercut his prices. I followed him for 10 stupid minutes watching him do completely pointless and banal things before he got around to the place where I could advance the quest. That is not a game. That is a really bad TV show.
There were other little things too. The immersion-breaking NPCs, the bugs, the lame combat (when I could even find things to fight), the horrible menu systems, the confusing, self-destructing level-up system, etc.
But despite all those nasty things I just said, I still feel like I should like the series and buy Skyrim, partly because the previews and reviews I've seen seem to indicate that it's fixed some of the things I hated about its predecessors, and partly because it's a real 'gamer's game' and I feel like someone may come and demand my geek card back if I don't. Problem is, I'm not quite ready to pay $60 on a game from a series I've had a bad history of.