I was way too hyped up for Oblivion. I actually registered at Direct2Drive as a US citizen so that I could get the game one day earlier.
I was so excited about it all, but then it just fell flat. Everything looked the same with no unique elements, all enemy encounters felt the same, all the mystery and joy over finding previously rare stuff like glass, artifacts and daedric armor was gone.
It felt like you had no reason to explore anything unless you had a quest requiring you to go there. In Morrowind I can spend hours going through random dungeons and caves just because every one feels different and has the possibility of containing something awesome (yes, I still play it; working on the Telvanni quests, because after playing the game for years upon years, there are still things I haven't done yet). In Oblivion you just grind through quests, because exploring randomly feels pointless when you can get full glass armor by killing a random bandit. The entire atmosphere of Morrowind, so alien and unique, was nowhere to be found. At all.
And don't get me started on the lore. When I first started playing, it didn't bother me much, but when I went back and read the description of Cyrodiil in the Pocket Guide to the Empire, I almost got teary-eyed (massive nerd-points right there) because of how badly I felt they had screwed up. Especially this part:
Refayj's famous declaration, "There is but one city in the Imperial Province,--" may strike the citizens of the Colovian west as mildly insulting, until perhaps they hear the rest of the remark, which continues, "--but one city in Tamriel, but one city in the World; that, my brothers, is the city of the Cyrodiils." From the shore it is hard to tell what is city and what is Palace, for it all rises from the islands of the lake towards the sky in a stretch of gold. Whole neighborhoods rest on the jeweled bridges that connect the islands together. Gondolas and river-ships sail along the watery avenues of its flooded lower dwellings. Moth-priests walk by in a cloud of ancestors; House Guards hold exceptionally long daikatanas crossed at intersections, adorned with ribbons and dragon-flags; and the newly arrived Western legionnaires sweat in the humid air. The river mouth is tainted red from the tinmi soil of the shore, and river dragons rust their hides in its waters. Across the lake the Imperial City continues, merging into the villages of the southern red river and ruins left from the Interregnum.
The Emperor's Palace is a crown of sun rays, surrounded by his magical gardens. One garden path is known as Green Emperor Road-here, topiaries of the heads of past Emperors have been shaped by sorcery and can speak. When one must advise Tiber Septim, birds are drawn to the hedgery head, using their songs as its voice and moving its branches for the needed expressions.
Morrowind's plot and setting was filled with political and religious struggles; all NPC's had their own beliefs and agendas. In Oblivion, this was reduced to "herp smash the bad guy derp" and completely black-and-white scenarios.
I'm just praying that the political struggle we've heard of in Skyrim will be deep and engrossing, so that the game doesn't revolve around smashing evil one-dimensional dragons in the face for hours.
EDIT: Also, music. Morrowind's music is amazing; Oblivion's is just bland.