I realize for most people this isn't really an either/or question. But I often find myself struggling to find a good balance between free-roaming adventuring on the one hand and guided questlines on the other.
And for some reason, I find this balance most difficult to achieve in Morrowind (out of the 3 latest TES games).
That is, I often get wrapped up in a faction questline, and find my interest in my character waning once the quest is over (or once I reach an impasse). But a faction questline does provide some real motivation for exploration, and can help define your character in the early stages.
At the other extreme, I find it hard to 'make a living' in Morrowind by just exploring/adventuring randomly. There's only so many times I can journey around the ashlands or the grazelands or any region before feeling like I'm "not doing anything". But in the early stages, exploration in Morrowind is extremely rewarding, more so than in the other games.
An ideal solution would be to mix the two - supplement your guild quests with free-roaming, or vice versa. But I find that hard to do in practice, since questlines can get pretty urgent, so "taking a break" seems really irresponsible. And on the flip side, it's almost impossible for me to just dip my toes into a faction questline, since you end up advancing and getting caught up in it all, which usually ruins my character concept if that character was intended to be a rugged individualist, for example.
It would be great, I think, if Skyrim's radiant quest system could live alongside the interesting factions and long faction questlines of Morrowind - so I could just 'do jobs' for the Thieves' Guild or the Fighters' Guild without advancing if I so chose. But alas, that's not the system we have.
So how do you handle that tension between individual adventuring and the pressures of joining a faction?