I like the Companions the most.
The fighters guild quests in Morrowind and Oblivion were OK, but far too dull overall.
Which is mainly because of my flaws rather than the quests being dull, uninteresting and poorly executed.
The Oblivion jab at the old ratstomp trope and the continuity with Morrowind was amusing however.
I didn't like the Blackwood company at all, especially the forced bit.
Blackwood, Blackwater, oooooooh subtle! *sarcasm*
Morrowind had some interesting bits such as the fighters guild being legally sanctioned to bring booze to miners in the mine.
A nice touch I feel.
The whole Cammona Tong infiltration bit in Morrowind was interesting but it isn't my cup of tea.
I have to skip a lot of quests if I want to be "good" or at least not outright malevolent.
The Fighters Guild felt more like mercenaries only interested in money and killing while the Companions felt more like a band of brothers, friends.
The initiation ceremony in Skyrim is something I love to bits and felt lacking in Morrowind and Oblivion.
As the factional/doctrinal dispute within the Circle, pro Beastblood and pro Purity.
The undercurrents and subtlety, mmmmm.... lovely...
What can I say, I am a svcker for metaphysics.
Kodlak, I admire him.
I can't say the same for any of the other fighters guild leaders.
I admire Hannibal Traven in the Oblivion Mages Guild though.
The fact that the Companions actually go out and do things on their own was both a surprise and totally sweet.
I am so used to faction member NPC's just staying in the same spot and I being the only one who does any work at all.
Imagine my surprise when I saw Vilkas, Farkas and Njada roaming the Skyrim wilderness.
"Hey, Vilkas, what are you doing here?"
"Going to hunt a dragon, want to come along?"
"Yeah, absolutely!"
And we did.

It was awesome.
I also like how you can do quests after the main questline.
Morrowind had literally nothing to do after every quest had been done.
Oblivion had changing the Guilds priorities and the GuildMaster chest, which is something and was a step in the right direction.
Radiant quests isn't a perfect solution but it is way better than the earlier versions.
Bear in mind my cultural bias.
I am Swedish and love vikings, heroism, camradery and mead so Skyrim and the Companions is a game more suited to my tastes.
Favourite city and player owned house in Oblivion, Bruma.
Favourite Morrowind expansion Bloodmoon.
I am extremely biased.