First off, whatever people might say, there's no negative trend between high-quality graphics and good storytelling. There are Dooms and Wolfensteins in every generation, just as there are Bioshocks and Dragon Ages. People need to stop saying that developers are only focusing on making games pretty, because that's [censored]. There has never been a point where Bethesda wasn't trying to push the envelope in terms of technology, or does nobody remember the hype about Morrowind being the largest, most detailed 3D game of that time?
Second, Oblivion's story is definitely inferior to Morrowind's, but it's still great. Bethesda is very good at what they do, and what they do is craft fantastic worlds for the player to enjoy. Oblivion's cast of characters felt infinitely more alive than Morrowind's (IE individual personalities, unique appeances, etc.): I can remember walking through Seyda Neen and hearing two guards and Vodunius Nuccius, all at the same time, screech "THINK IT'LL RAIN???" at me. Cyrodiil is a beautiful place, and the Ayleid ruins were, to me, far more beautiful and haunting than any of the Dwemer ruins. The crucial difference between Oblivion and Morrowind (and note that this isn't a bad thing) is that Oblivion is very vanilla fantasy. Elven ruins, rolling meadows, invading demons-- it lacks the weirdness that Morrowind relished in, and that Bethesda discovered again with Shivering Isles.
Third, anyone who thinks that the Dark Brotherhood quests are less interesting than the Morag Tong is a liar and fraud. That's all I have to say about that.
I love Morrowind, and I would choose it a thousand times over Oblivion, but I get tired of people hating on Oblivion because it's the 'in' thing to do. They're both wonderful games, people. Enjoy them.
EDIT: Also, I'm very tired right now, so hopefully this all makes some sort of sense.