At the risk of going on about how "Morrowind did it better", I'm going to talk about game intros.

First, I have not played Daggerfall or Arena, so I am not familiar with their intros.

Among Morrowind, Oblivion, and Skyrim, Oblivion and Skyrim's openings are rather similar when compared to Morrowind's. In particular:

With their tutorial dungeons, Oblivion and Skyrim start the game by emphasizing game mechanics. In Morrowind, you start the game by entering a town (which is not being attacked), and you have a number of choices of what to do. You can do side quests, run straight into the wilderness, sneak around and steal stuff, ride the silt strider to a different town, or even do a dungeon crawl (there is a smuggler cave right outside of town.) In short, Morrowind starts the game by emphasizing choice (and not just the choice of game mechanics).

Furthermore, the tutorial-dungeon idea is obsolete in Skyrim and any other possible future games that use the same class-less leveling system. The whole point of the tutorial dungeon in Oblivion was to give you an idea of how the skills work before you pick your major skills. Skyrim removed the need to commit to a set of skills at the beginning of the game, but the vestigial tutorial dungeon remains.

Oblivion and Skyrim's intros also quickly introduce the main conflict in the game. This is fine, of course, as long as it's done well. Oblivion and Skyrim both had problems in doing this, but their problems are different:

The problem with Oblivion's opening is that it made you feel like you had to deliver the amulet as soon as you got out of the sewer. It makes the player feel like they don't have time to explore the stuff they see as soon as they exit the sewer, even though, gameplay-wise, they do. Open-world games should not make the player feel guilty about exploring the open world.

The problem with Skyrim's opening is that, plot-wise, it's just so contrived. Alduin happened to have returned that day and decided to attack the place where the Dragonborn had just entered Skyrim and, in doing so, inadvertently saved his/her life. Aside from having too many coincidences, it reveals the main bad guy right away (though does not identify him as such, unless you have the subtitles on). Imagine how silly it would have been if Dagoth Ur showed up and attacked Seyda Neen the day you arrived. Imagine, furthermore, that Dagoth Ur had just happened to have returned from the dead that morning. That's silly enough, and we're not even getting into the whole inadvertently-saving-his-nemesis angle.

Having the villain attack small towns when there are bigger towns nearby makes them seem petty. Having them attack towns as soon as they come back makes them seem impulsive, rather than one of the canoodling masterminds we all love to see as villains. Having them attack only one town the entire time they are active, and having that town be one that you happen to be in at the time, makes it seem like the world revolves around your character.

In short, I prefer a calm opening like Morrowind's that immediately emphasizes the openness of the open world. I don't particularly care if the opening introduces the main conflict or not, as long as it does it well, and as long as it does not directly show the main villain right away.

Well, that's my rant for the day.