I love all of the TES games, and Skyrim is my first favorite. However, I have found myself occasionally digging out my old copy of Morrowind GOTY edition as well as popping in my Oblivion GOTY edition CD and just playing. And it's not just to remember certain elements of the story, or for that nostalgic effect - I loved all of the TES games, specifically Skyrim and Oblivion. Skyrim is my first favorite TES game, and Oblivion comes a close second. I thought Oblivion was a better game than Morrowind, though I'm sure that the Morrowind zealots would disagree. I liked the setting of Oblivion the most - Cyrodiil, being the central province of the Empire, you had pretty much a little bit of everything in terms of climate. Cyrodiil felt like a paradise to me, and as explained in another thread - Oblivion gave me that WOW! factor when I first started, whereas Morrowind was like "Ahh, finally a game that doesn't force you to be a fast-paced person."
Cyrodiil, even to this day, makes me want to live there sooo much. (Now, SI takes that feeling and doubles it for me
) Plus, I loved the graphics in Oblivion, almost more than the ones in Skyrim. (I also have Bomret's Detailed Bumpmaps as well as some other graphical mods, making it look so insanely real it's not even funny)
Arguably, I have to say Skyrim and Oblivion might be equal in terms of my favorites, to be honest. I liked Morrowind, and since it was my first TES game, it always will be special to me, but I personally think that each TES game has advanced better and better. Though I don't really agree with what Bethesda's been doing outside of their game development, I do have to say that Bethesda definitely knows what they're doing in the games, especially the Elder Scrolls games. (It's the same situation to me with FO3 - I honestly think it was an excellent game, and I don't know why so many people criticize it negatively)