I started with Skyrim. I think Morrowind is the best... but Skyrim and Oblivion aren't far behind.
The reasons why I think Morrowind is the best is...
* The main quest. It's like playing a novel, I mean, a real novel. Seriously, it's better than many books I've read. And I'm PICKY with books. Oblivion's main quest had much potential with the revolution theme but didn't pull it off as well. Skyrim's main quest feels very much like cheap fantasy. It gets saved by TES lore... the unique take on dragons, the dragon cult, and the Thu'um.
* The "no handholding".
* No forced quests. (same as Oblivion, on whole. There are a few forced ones like Kvatch.)
* The politics. Skyrim's civil war also offers some in that regard though.
* The leveling system has the same complexity as Oblivion's but is easier to get into. On whole, gameplay is complex but fairly easy to get into... While Oblivion's is complex, and Skyrim's is easy.
* Dunmer culture... This is partly due to personal taste. It just appeals to me the most. The guards are also the coolest. Skyrim also offers much in the cultural aspect though.
* Largest variety of weapons, and most customization when it comes to outfits.
* The choice and consequence thing...
* Like in Oblivion, there's barter and a reputation system, and topics instead of dialogue choices - basically the NPC interaction is better in Oblivion and Morrowind than in Skyrim, from a roleplay perspcetive. But in Morrowind there's no awful persuasion minigame.
* Main quest is not forced upon you at the start, and the intro is short, and the game basically tells me "do what you want". It is ruined a bit by the introduction lines though, with the gendering of the prisoner and Azura calling "him" chosen.
* There's less of level scaling, but there's some of it. Which is perfect.
There are things in Oblivion and Skyrim that I like more than Morrowind, but on whole I like Morrowind the most. But as I said, it wins by a very small margin.