My personal opinion is Oblivion's fast-travel was too much. I just felt like I lost much of the immersion. I mean, in Morrowind I would prepare when I would go out, leaving at the morning. I would always carry a lamp with me or a torch so that if I stayed past nightfall I would be able to see (and at night I was always scared [censored]less when monsters attacked me... i need my light!!!). I was afraid of night in Morrowind... afraid of the unknown. When I left town I actually felt like I was leaving the town, where there is no quick escape. It just makes everything feel more epic to me. When I would return to a town I would feel relieved and safe!
Now, when I played Oblivion I did not feel those emotional changes or any of the fear. I knew if I ever was in trouble I could just fast-travel back and get supplies, and then fast-travel back. I did not really care if I left a town or anything, I just felt like it was nothing to be afraid of. I would go out at any time of day, even night, because really you would probably only spend a minute or two outside until you get to the dungeon (if it was the first time going there) or just a few seconds (if you fast-traveled there).
In essence, the Oblivion-styled fast-travel made the world not seem real... it was just a map in a game in... Morrowind felt more like a real place to me.
Now, many people say "Well, if you don't like fast-travel, don't use it!" This argument is easily countered by this in my view: It is like cheating. If you get cheats in a game, you either use them or you don't. But if you ever get in a hard spot, your willpower is tried, and sometimes it breaks and you just use the cheat. But after that it is not easy to stop cheating, it is like an addiction! And although it makes it easier and funner for a time, it very quickly dulls down the game and makes it quite boring, as there is then not much of a challenge, or at least the challenge is lightened.
That is my humble opinion.