How does it compare? It's older, but we still love it!
It has more history, depth, and personality than OB, but there are things about the gameplay that turn people away.
And with mods, you can get it looking very beautiful and updated. (if older graphics bother you)
http://www.uesp.net/wiki/Morrowind:Morrowind_for_Oblivion_Players - this guide will help get you orientated.
There are many, many threads asking this question. Just search back a few pages and you'll see them
edit: If you're getting it for PC, and interested in using mods, I made a http://www.gamesas.com/index.php?/topic/1060141-mod-recommendations-for-new-players/page__p__15392814#entry15392814