Doesn't matter which TES game you first played, the question is as in the title: do you like it from the beginning or did it take some time?
I'll quite openly admit I hated my first attempt at playing, when I first got Skyrim (see http://www.gamesas.com/topic/1484832-how-did-you-find-your-fist-tes/#entry23380397), and very nearly gave up on the entire series after a few hours. I'm still trying to like Oblivion, and am in two minds about trying Morrowind at all.